A Research on the Fluctuation of Exchange Rate of USD/RMB

被引：0

作者：

Li Keyong ^{[1
]}

机构：

[1] Liaoning Univ Technol, Jinzhou 121001, Peoples R China

来源：

PROCEEDINGS OF THE 8TH EURO-ASIA CONFERENCE ON ENVIRONMENT AND CSR: TOURISM, MICE, HOSPITALITY MANAGEMENT AND EDUCATION SESSION, PT II | 2012年

关键词：

Fluctuation of Exchange Rate; The MF-DFA Method; Multi-Fractal; Generalized Hurst Exponent;

D O I：

暂无

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

The foreign exchange market is a nonlinear complex system, thus, the multi-fractal method can be used to analyze the mixed state of its fractal dimension. In this paper, the author studies the overall characteristics of the system from its local departure. The result shows that RenyiIndex tau (q) is not a straight line, while the clear nonlinear relationship of h(q) - q and tau(q) - q show that there are multi-fractal features in the fluctuation of exchange rate of USD/RMB. By further study, the conclusion can be drawn that the multi-fractal features are not only caused by the long-term correlation and fat tail distribution, but also determined by other factors.

引用

页码：160 / 166

页数：7

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