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. DOI: 10.1103/PhysRevE.87.022918