中国黑色金属期货市场分形特征的研究

Research on Fractal Characteristics of China's Black Metal Futures Market

黑色金属期货成交量较大,对其分形特征研究具有重要意义。本文运用R/S分析法,分析了中国黑色金属期货市场的分形特征。研究发现,螺纹钢、线材、热轧卷板期货均存在状态的持续性,具有长记忆特征,非循环周期分别约为249、121、56个交易日,而铁矿石期货则表现出"均值回复"特征,是反持久性时间序列,过去信息与未来市场价格增量之间存在负相关性。本文进一步检验了我国黑色金属期货市场分形特征R/S分析的稳定性和有效性,研究结果表明R/S分析赫斯特指数具有稳定性和有效性,并对R/S分析的可靠性进行了逻辑验证。

The turnover of ferrous metal futures is relatively large, and its research on fractal characteristics is of great significance. This paper uses R/S analysis to analyze the fractal characteristics of China’s ferrous metal futures market. The study found that rebar, wire, and hot rolled coil futures all have state persistence and long memory characteristics. The non-cyclical periods are about 249, 121,and 56 trading days, respectively, while iron ore futures show "average."The"response"feature is an anti-persistence time series, and there is a negative correlation between past information and future market price increments. This paper further tests the stability and effectiveness of the fractal characteristics of R/S analysis in China’s ferrous metal futures market. The results show that the R/S analysis of the Hearst index is stable and effective, and the reliability of R/S analysis is carried out.Logical verification.