Research on Multi-fractal Spectrum Features of Copper Futures in SHFE of Multiple Time Scales

• 作 者: ZhengFeng[1]LiuDan[1]Tianzhiyong[2]ZhaoWenyao[1]
• 机 构: School of Economics & Management, North China University of Technology, Beijing, China 100144
• 出 处: 第五届复杂科学管理国际研讨会
• 发表日期: 2014年期

　　In this paper, we investigated the copper futures in SHFE of multiple time scales.Using Multifractal Detrended Fluctuation Analysis (MF-DFA) and Multifractal Spectrum, we found that multifractal spectrums of different time scales (τ=1 、 τ=5 、 τ=22) have the similar shape.Time scale just affects the width (△∝) and the fractal dimensions (△(∫)) of the spectrums.With the time scales, the degree of the multifractal also strengthens.Hurst exponent implies that there exists long-term memory in the copper futures market, which degree also strengthens as the time scale increases.