Performance of multifractal detrended fluctuation analysis on short time series

Abstract

The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of applicability of the method and the precision of its results as a function of the decreasing length of the series. As an application the series of the daily exchange rate between the U.S. dollar and the euro is studied.

9 pages, 8 figures

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Cited by in corpus (2)

• Multifractal analysis of financial markets
• Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series