Stošić, Darko; Stošić, Dusan; Stošić, Tatijana; … - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 13-18
We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning...
