分形市场理论在大豆期货市场中的实证研究

Empirical Analysis on Fractal Market Hypothesis in Dalian Bean Futures

本文以大连期货交易所大豆期货价格的日收盘价为样本,运用重标级差来研究期货市场价格的非线性特征。从统计结果来看,样本序列呈现出尖峰、胖尾等有偏特征,其H值大于0.5。这说明期货价格波动并不遵循有效市场理论,期货价格时间序列具有持久性趋势。同时发现,连豆期货存在着一个大约516天的非周期循环长度,这进一步证明期货市场价格波动的非随机性。

This paper uses R/S analysis to study the non-linear features of futures prices against futures prices time series.Using the daily closing price of bean futures from Dalian futures exchange as samples to conduct R/S analysis,the result shows that H value is greater than 0.5,which indicates that futures price fluctuation does not follow the effective market theory.Futures prices time series exhibit permanent trends.It is also found that Dalian bean futures exists one non-periodic length of circulation,and the length is 216 days.It proves that the volatility of futures prices is non-randomness.