论文部分内容阅读
采用MF-DCCA方法,对我国金属期货市场量价相关性的多重分形特征和长记忆性特征进行实证检验。结果表明我国金属期货量价关系存在着具有一定时间期限的长记忆性特征。通过分析量价相关性存在多重分形特征的原因,进一步证明我国金属期货市场量价相关性存在长记忆特征。多重分形特征和长记忆性的存在意味着将分形市场理论以及其它的非线性理论和方法引入到对我国金属期货市场行为的分析,具有重要的现实意义。
The MF-DCCA method is used to empirically test the multifractal characteristics and long memory characteristics of the price-volume correlations in China’s metal futures market. The result shows that there is a long memory characteristic with a certain period of time in the relationship between the volume and price of metal futures in China. By analyzing the reason of the existence of multifractal characteristics in the correlation of volume and price, this paper further proves that there is a long memory feature in the correlation between the price and the price in China’s metal futures market. The existence of multiple fractal features and long memory means that the introduction of fractal market theory and other nonlinear theories and methods into the analysis of China’s metal futures market has important practical significance.