Research on Multi-fractal Spectrum Features of Copper Futures in SHFE of Multiple Time Scales
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.
Copper Futures Multifractal Spectrum Hurst exponent MF-DFA
Zheng Feng Liu Dan Tian zhiyong Zhao Wenyao
School of Economics & Management, North China University of Technology, Beijing, China 100144 School of Information, Beijing Wuzi University, Beijing, China 101125
国内会议
杭州
英文
220-225
2014-10-25（万方平台首次上网日期，不代表论文的发表时间）