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Performance of multifractal detrended fluctuation analysis on short time series
Juan Luis López1, Jesús Guillermo Contreras
1Departamento de Física Aplicada, Centro de Investigación y de Estudios Avanzados del Instituto Politécnico Nacional, Unidad Mérida, A.P. 73 Cordemex, 97310 Mérida, Yucatán, México.
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.
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