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MARCH 2012 (published: 01.03.2012)
Number 1(10)
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Fractal Approach to Exchange Crisis Forecasting
Gafarova E.A., Dobikova D.V.
Abstract. Nowadays the problem of forecasting the economic crisis is very important. A new approach to exchange crisis forecasting is the fractal analysis. In this article we introduce two fractal dimension estimation methods applying to computer information processing – R/S-analysis and K-method. Fractal approach allows us to forecast periods of instability and currency devaluation.
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Keywords: economic crisis , exchange rate, fractal, fractal dimension, R/S-analysis, K-method, “moving window” method
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
UDC 338.27
Fractal Approach to Exchange Crisis Forecasting
Abstract. Nowadays the problem of forecasting the economic crisis is very important. A new approach to exchange crisis forecasting is the fractal analysis. In this article we introduce two fractal dimension estimation methods applying to computer information processing – R/S-analysis and K-method. Fractal approach allows us to forecast periods of instability and currency devaluation.
Read the full article
Keywords: economic crisis , exchange rate, fractal, fractal dimension, R/S-analysis, K-method, “moving window” method