Monthly Archives: April 2001

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Exchange Rate Dynamics (SPbSU Press, 2001)

Results of fractal analysis of currency exchange rate fluctuations in several groups of countries with different financial and economical systems during the period 1995-2000 are presented. We demonstrate that the C. K. Peng’s detrended fluctuation analysis can be used as a sensitive tool for identifying inflation trends and revealing unstable regimes in currency dynamics over broad range of temporal scales. The developed quantitative criteria allow to characterize the efficiency of […]

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Tax Revenue Dynamics (SPbSU Press, 2001)

In this project, we investigated fractal properties of temporal fluctuations of the volume of income taxes collected in St.Petersburg, Russia in 1996-1997. Time series of tax inflows typically consist of periodic and stochastic components. We show that the main periodic component, which represents the 30-day economic cycle, is strongly influenced by random fluctuations. We estimated a degree of randomness and uncertainty in the studied time series using the E. Hurst’s […]

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