沪铜、天然橡胶期货价格时间序列的非线性检验  

Nonlinear Test of copper and NR Price Time Series in Shanghai Futures Exchange

作　　者：李锬[1] 齐中英[1] 

机构地区：[1]哈尔滨工业大学,黑龙江哈尔滨150001

出　　处：《哈尔滨工业大学学报（社会科学版）》2005年第5期81-84,共4页Journal of Harbin Institute of Technology(Social Sciences Edition)

摘　　要：运用替代数据方法来分析判断上海期货交易所两种主要工业品期货———铜和天然橡胶的期货价格时间序列的非线性特征。通过对两种期货合约共三组样本观测数据的检验,发现期货收益时间序列存在明显的非线性成分,且存在某种相依性,为进一步期货价格时间序列的非线性特征提供依据。This paper analyzed and tested the nonlineanty of price time series in the future trade market in Shanghai using the method of surrogate data. By examining three groups of raw samples data, including two types of industrial product futures, it found that a nonlinear and dependent tendency exists in time series of the future trade returns. This method will provide a practical means for analyzing the nonlinear characteristic of price time series of future trade products.

关 键 词：价格时间序列 期货 替代数据方法 

分 类 号：F914.4[经济管理]