Monthly Archives: April 2001


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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