国际石油期货市场长期记忆特性的实证分析

Analysis of long-term memory characteristic of international petroleum futures market

长期记忆特性是近年来金融问题研究的一个热点.为了检验国际石油期货市场长期记忆的特性,通过应用R/S分析方法对纽约商品交易所的无铅汽油期货价格的日收益进行实证分析.R/S分析显示纽约商品交易所的无铅汽油期货市场具有明显的持久性和长期记忆特性.无铅汽油期货的日收益率序列不满足随机游走过程,这表明它有一个"长期记忆"在起作用,作用周期为10d,并且这种"长期记忆"作用是间歇性的无限拓展的.

Recently the long-term memory characteristic is a focus in financial study. In order to check up the characteristic of the international petroleum futures market, this text analyzes the daily returns of the unleaded gasoline in the New York Commodity Exchange applied rescaled range (R/S) analysis method. The R/S analysis shows that there is an evidence to support long-term dependence or long-term memory in daily returns, but there is not the random walk. It indicates that there is a force called 'long-term memory', of which period is about 10 days, and the force is intermittent to expand infinitely.