Long memory of price-volume correlation in metal futures market based on fractal features  

基于分形特征的金属期货量价相关性的长记忆性(英文)

作　　者：程慧[1,2] 黄健柏[1,2] 郭尧琦[2,3] 朱学红[1,2] 

机构地区：[1]中南大学商学院,长沙410083 [2]中南大学金属资源战略研究院,长沙410083 [3]中南大学数学与统计学院,长沙410083

出　　处：《Transactions of Nonferrous Metals Society of China》2013年第10期3145-3152,共8页中国有色金属学报（英文版）

基　　金：Project(13&ZD024)supported by the Major Program of the National Social Science Fund of China;Project(71073177)supported by the National Natural Science Foundation of China;Project(CX2012B107)supported by the Graduate Student Innovation Project of Hunan Province,China;Project(13YJAZH149)supported by the Social Science Fund of Ministry of Education of China;Project(2011ZK2043)supported by the Key Program of the Soft Science Research Project of Hunan Province,China;Project(12JJ4077)supported by Natural Science Foundation of Hunan Province of China

摘　　要：An empirical test on long memory between price and trading volume of China metals futures market was given with MF-DCCA method. The empirical results show that long memory feature with a certain period exists in price-volume correlation and a fittther proof was given by analyzing the source of multifractal feature. The empirical results suggest that it is of important practical significance to bring the fractal market theory and other nonlinear theory into the analysis and explanation of the behavior in metal futures market.采用MF-DCCA方法,对我国金属期货市场量价相关性的多重分形特征和长记忆性特征进行实证检验。结果表明我国金属期货量价关系存在着具有一定时间期限的长记忆性特征。通过分析量价相关性存在多重分形特征的原因,进一步证明我国金属期货市场量价相关性存在长记忆特征。多重分形特征和长记忆性的存在意味着将分形市场理论以及其它的非线性理论和方法引入到对我国金属期货市场行为的分析,具有重要的现实意义。

关 键 词：metal futures price-volume correlation long memory MF-DCCA method MULTIFRACTAL fractal features multifractalspectrum 

分 类 号：F724.5[经济管理—产业经济] F764.2F224