国际黄金期价与美元指数交互关系的多重分形分析  

Multifractal Analysis for the Cross-correlation between the International Gold Futures Prices and US Dollar Indexes

作　　者：王宏勇[1] 郭丽娜[1] 

机构地区：[1]南京财经大学应用数学学院,江苏南京210023

出　　处：《数理统计与管理》2015年第5期878-889,共12页Journal of Applied Statistics and Management

基　　金：教育部人文社科基金项目(12YJAZH020);江苏高校优势学科建设工程项目资助

摘　　要：由于美元是国际黄金市场的主要标价货币,其币值的变化与国际金价的波动密切相关。本文利用多重分形分析法研究纽约商品交易所黄金期货价格数据与美元指数之间的交互相关性及两者的内部结构特征,并使用分形特征统计量度量市场风险大小。结果表明,虽然黄金期价和美元指数的收益率序列之间存在长期的负相关关系,但这种负相关关系是非线性动态变化的,具有多重分形特征,多重分形强度是时变性的,意味着市场风险大小随时间的不同而改变。The international gold prices are closely related to the fluctuation of US dollar due to the fact that it is the principal currency of settlement in the international gold markets.By means of multifractal analysis,the cross-correlation between the gold futures prices of the Commodity Exchange of New York and the US dollar indexes is investigated,and their internal structural features described.Besides,the risk of the international gold markets is also measured quantitatively by fractal statistical parameters.The results show that although there exists a long-term negative cross-correlation between the returns of both the gold futures prices and US dollar indexes,it is nonlinear and dynamic,and possesses multifractal characteristics.Furthermore,it is also found that the strength of the multifractality varies from time to time,meaning that the risk of the gold futures markets changes with time.

关 键 词：黄金期货价格 美元指数 交互相关性 分形统计量 多重分形分析 

分 类 号：F830.9[经济管理—金融学] O212[理学—概率论与数理统计]