Statistical Properties of Return and Volatility in Chinese Metal Futures Market

摘要：

In order to investigate the efficiency of Chinese metal futures market, we studied the daily price series of Chinas copper and aluminum futures market. It was proved that the center parts of the distribution have a exponential form, followed by power-law tails, and the power-law exponent is larger than 3. Moreover, based on detrended fluctuation analysis (DFA), long memory was found in return and volatility series, which denies the Efficient Market Hypothesis (EMH).

关键词： econophysics power-law long-memory dfa

作者: Qingyun Meng

作者单位: School of Business East China University of Science and Technology Shanghai, China

会议类型: 国际会议

会议名称: 2010 IEEE International Conference on Advanced Management Science(2010年IEEE高级管理科学国际会 IEEE ICAMS 2010)

会议地点: 成都

会议语种:英文

页码: 84-87

在线出版日期: 2010-07-09（万方平台首次上网日期，不代表论文的发表时间）