基于分形特征的金属期货量价相关性的长记忆性(英文)

被引：5

作者：

程慧 ^{[1
,2
]}

黄健柏 ^{[1
,2
]}

郭尧琦 ^{[2
,3
]}

朱学红 ^{[1
,2
]}

机构：

[1] 中南大学商学院

[2] 中南大学金属资源战略研究院

[3] 中南大学数学与统计学院

来源：

Transactions of Nonferrous Metals Society of China | 2013年 / 23卷 / 10期

关键词：

金属期货; 量价相关性; 长记忆性; MF-DCCA方法; 多重分形; 分形特征; 多重分形谱;

D O I：

暂无

中图分类号：

F724.5 [期货贸易]; F764.2 [冶金工业产品]; F224 [经济数学方法];

学科分类号：

020205 ; 1202 ; 120202 ; 0202 ; 0701 ; 070104 ;

摘要：

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。

引用

页码：3145 / 3152

页数：8

共 17 条

[1]

Price–volume multifractal analysis and its application in Chinese stock markets[J] . Ying Yuan,Xin-tian Zhuang,Zhi-ying Liu.Physica A: Statistical Mechanics and its Applications . 2012 (12)

[2]

Research on the relationship between the multifractality and long memory of realized volatility in the SSECI[J] . Zhanliang Jia,Meilan Cui,Handong Li.Physica A: Statistical Mechanics and its Applications . 2011 (3)

[3]

A multifractal detrended fluctuation analysis of trading behavior of individual and institutional traders in Tehran stock market[J] . Meysam Bolgorian,Reza Raei.Physica A: Statistical Mechanics and its Applications . 2011 (21)

[4]

Memory effect and multifractality of cross-correlations in financial markets[J] . Tian Qiu,Guang Chen,Li-Xin Zhong,Xiao-Wei Lei.Physica A: Statistical Mechanics and its Applications . 2010 (5)

[5]

Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis[J] . Ling-Yun He,Shu-Peng Chen.Physica A: Statistical Mechanics and its Applications . 2010 (2)

[6]

Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective[J] . Yudong Wang,Yu Wei,Chongfeng Wu.Physica A: Statistical Mechanics and its Applications . 2010 (24)

[7] Are developed and emerging agricultural futures markets multifractal? A comparative perspective [J].

He, Ling-Yun ;

Chen, Shu-Peng .

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2010, 389 (18) :3828-3836

[8]

Long memory in volatility and trading volume[J] . Jeff Fleming,Chris Kirby.Journal of Banking and Finance . 2010 (7)

[9] Multifractal detrended cross-correlation analysis of temporal and spatial seismic data [J].

Shadkhoo, S. ;

Jafari, G. R. .

EUROPEAN PHYSICAL JOURNAL B, 2009, 72 (04) :679-683

[10]

Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence[J] . Gabriel J. Power,Calum G. Turvey.Physica A: Statistical Mechanics and its Applications . 2009 (1)

← 1 2 →