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We apply multifractal methods to analyze the impact of American subprime mortgage crisis on American foreign exchange market. By analyzing the local Holder exponent alpha and the multifractal spectrum of Japanese Yen to U.S. Dollar (USD/JPY) exchange rate and Euro to U.S. Dollar (EUR/USD) exchange rate ticked every hour from late 2006 to early 2008, we find that the periods where critical events took...
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