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本文运用多重分形消除趋势波动分析方法,对之前较少被研究的中国铜和小麦两个期货品种的价格收益序列进行实证研究。结果表明,两种期货价格收益序列不服从正态分布且具有尖峰态特征,因此二者均存在明显的多重分形特征,单一的标度指数无法对其充分的描述。对其多重分形成因进行分析后发现,收益序列的波动相关性导致其多重分形特征,并引起价格的有偏随机游走,市场未达到弱式有效。
In this paper, we use the method of multifractal trend elimination to analyze the price return series of two Chinese futures varieties, copper and wheat, which were less studied before. The results show that the returns of the two futures prices do not obey normal distribution and have the characteristics of peak state, so both of them have obvious multifractal characteristics, which can not be fully described by a single scale index. The analysis of its multiple fractal formation shows that the volatility correlation of the income series leads to its multifractal characteristics and leads to a biased random walk of the prices, and the market is not weakly effective.