Stock, Real Estate, Volatility Transmission
This paper is about the application of Fractal Geometry in metal market analysis. Through R/S analysis we study the main three copper markets in the world (London Metal Exchange of England, Shanghai Futures Exchange of China, and New York Commodity Exchange of American). Firstly, by calculating their Hurst exponent, we can see that their time series are persistent at various degrees, and they follow a partial random walk. After that, we compare their nonlinear dynamics characteristics and market liquidity features. Secondly, we calculate V-statistics of these time series, discover long-term memory in a non-periodic cycle and we manage to get each one their average cycle length, but we fail. In addition, we discuss the experiential law of Hurst and put forward the concept of local Hurst exponent. Then, we calculate their local Hurst exponent. Finally, we sum up their nonlinear dynamics characteristics and market liquidity features. We propose such a proposition as an incomplete basis: The primary and ultimate function of the futures market should be the provision of adequate liquidity rather than the traditionally one-- price discovery.
Hurst Ezponent R/S Analysis Fractal Theory Chaos Theory Nonlinear
FU Yunbin
Shanghai Lixin University of Commerce, Shanghai, P.R.China, 201620, Department of mathematics, Shanghai University, Shanghai, P.R.China, 200444,
国际会议
2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)
青岛
英文
1-6
2009-07-25（万方平台首次上网日期，不代表论文的发表时间）