中国商品期货市场的分形特征研究  

Research on the Fractal Characteristics of China's Commodity Futures Market

作　　者：周亮[1] 

机构地区：[1]湖南财政经济学院学报编辑部,湖南长沙410205

出　　处：《浙江金融》2017年第3期53-60,18,共9页Zhejiang Finance

基　　金：湖南财政经济学院青年教师科研基金项目(Q201408)

摘　　要：选取螺纹钢(RB)、铁矿石(I)、沪锌(ZN)、沪铅(PB)、豆粕(M)、菜粕(RM)、棕榈油(P)和豆油(Y)8种期货组1705合约2016年10月10日至2017年2月28日的所有60分钟K线数据,通过分析其原始价格序列的分形特征,以及价差、价比序列的分形特征,来描述中国商品期货市场的整体分形特征。结果显示:原始价格序列均具有较明显的趋势持续的分形特征,金属期货的趋势性大体强于农产品期货;价差和价比序列的分形特征则因品种而异;时变Hurst指数能够对分形特征的变动情况进行更好的刻画,短周期的Hurst指数变动快于长周期的Hurst指数变动,但是60周期以后的Hurst指数变动无明显区别。This paper selects all 60-minute K-line data of the futures group 1705 contract from October10,2016 to February 28,2017 of rebar（RB）,iron ore（I）,Shanghai zinc（ZN）,Shanghai lead（PB）,soybean meal（M）,rapeseed meal（RM）,palm oil（P）and soybean oil（Y）,to describe the Chinese commodity by analyzing the fractal characteristics of the original price series and the fractal characteristics of the spread and price ratio series.The results show that：the original price series has obvious trend of continuous fractal characteristics,the trend of metal futures is stronger than that of agricultural futures;the fractal characteristics of spread and price ratio vary from species to species;the time-varying Hurst index can be applied to fractal features,and the Hurst index of short periods is faster than that of the Hurst index in long periods,but there is no significant difference in the Hurst index after 60 cycles.

关 键 词：分形 HURST指数 商品期货 

分 类 号：F832.51[经济管理—金融学]