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选取螺纹钢(RB)、铁矿石(I)、沪锌(ZN)、沪铅(PB)、豆粕(M)、菜粕(RM)、棕榈油(P)和豆油(Y)8种期货组1705合约2016年10月10日至2017年2月28日的所有60分钟K线数据,通过分析其原始价格序列的分形特征,以及价差、价比序列的分形特征,来描述中国商品期货市场的整体分形特征。结果显示:原始价格序列均具有较明显的趋势持续的分形特征,金属期货的趋势性大体强于农产品期货;价差和价比序列的分形特征则因品种而异;时变Hurst指数能够对分形特征的变动情况进行更好的刻画,短周期的Hurst指数变动快于长周期的Hurst指数变动,但是60周期以后的Hurst指数变动无明显区别。
Eight kinds of futures including rebar, iron ore, ZN, PB, soybean meal (M), rapeseed meal (RM), palm oil (P) and soybean oil (Y) Group 1705 contracts for all 60-minute K-line data from October 10, 2016 to February 28, 2017. By analyzing the fractal characteristics of the original price series and the fractal characteristics of the spread and price series, the paper describes China Commodity Futures Market The overall fractal characteristics. The results show that the original price series all have the obvious fractal characteristics. The trend of the metal futures is generally stronger than that of the agricultural products. The fractal characteristics of the spread and the price ratio series vary with the varieties. The time-varying Hurst index can analyze the fractal characteristics The Hurst index changes faster than the long-term Hurst index, but there is no significant difference between Hurst index after 60 cycles.