有色金属期货市场分形特征研究

Research on Fractal Characteristics of Nonferrous Metal Futures Markets

通过重标极差分析方法,使用了"十二五"期间的市场交易数据,对沪铜和沪铝两种有色金属期货品种的分形特征进行了实证研究,结果表明,两种有色金属期货品种价格收益率时间序列存在波动集聚性与非线性,并具有反持久性和长期记忆性的分形特征,是一个有偏的随机游走过程。这两种有色金属期货品种分别具有545天和572天不同的长期记忆周期,反映了系统的平均循环长度,H指数分别为0.389和0.408,表明我国有色金属期货市场尚未达到弱式有效。

Through rescaled range analysis method, using the ＂Twelfth Five-Year Plan＂ period of market transaction data, the fractal characteristics of Shanghai copper and aluminum two non-ferrous metals futures is on empirical research, then results show that, two non-ferrous metal futures price returns time series are volatility clustering and nonlinear,and has the fractal characteristics of anti-persistence and long- term memory,and is a biased random walk process.Two kinds of nonferrous metals futures have different long-term memory cycles, which are 545 days and 572 days respectively, reflecting the average cycle length, and H index is 0.389 and 0.408 respectively,indicating that China＇s non-ferrous metals futures mar- ket has not reached the weak form efficiency.