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

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

来源 :第五届复杂科学管理国际研讨会 | 被引量 : 0次 | 上传用户：a27155908
【摘 要】
：
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 spect
【作 者】
：
Zheng Feng Liu Dan Tian zhiyong Zhao Wenyao 
【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10期
【关键词】
：
Copper Futures Multifractal Spectrum Hurst exponent MF-DFA 
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论文部分内容阅读
　　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.
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