国内黄金市场、外汇市场与国际黄金市场的多重分形分析  

Multifractal Analysis of the Chinese Domestic Gold Market,Foreign Exchange Market and International Gold Market

作　　者：刘潘婷 王宏勇[1] LIU Pan-ting;WANG Hong-yong(School of Applied Mathematics,Nanjing University of Finance and Economics,Nanjing 210023,China)

机构地区：[1]南京财经大学应用数学学院,江苏南京210023

出　　处：《系统工程》2022年第3期125-136,共12页Systems Engineering

基　　金：国家社会科学基金资助项目(20BGL028);江苏省研究生科研与实践创新计划项目(KYCX20_1320)。

摘　　要：运用多重分形分析方法研究了近十年来国内黄金市场、外汇市场与国际黄金市场的波动特征以及它们之间的交互相关行为。结果表明,所有市场的收益率序列都存在明显的多重分形特征,并且我国外汇市场的多重分形强度最大,蕴含的市场风险最高;所有收益率序列之间都存在具有多重分形特征的交互相关关系,并且人民币汇率改革以及新冠肺炎疫情爆发之后我国外汇市场与国内外黄金市场之间的交互相关关系的持续性增强。此外,胖尾分布是三个收益率序列多重分形性的主要来源;三个交互相关市场的多重分形性的来源包括长程相关性和胖尾分布,且胖尾分布对交互相关序列的多重分形性影响更大。Applying the methods of multifractal analysis,we investigate the fluctuation characteristics of the Chinese domestic gold market,foreign exchange market and international gold market and their cross-correlation behaviors in the recent ten years.The results show that the return series of the three markets have obvious multifractal features and that the Chinese foreign exchange market has the largest multifractality strength and the highest market risk.The cross-correlations with multifractal features exist between these return series.Moreover,after the RMB exchange rate reform and the outbreak of the COVID-19pandemic,the persistence of cross-correlation between the foreign exchange market and the gold markets at home and abroad has been strengthened.It is also found that the fat-tailed distribution is the main source of the multifractality of the three return series.The sources of the multifractality of the three crosscorrelation markets include long-range correlations and fat-tailed distribution,and the fat-tailed distribution has greater influences on the multifractality of the three cross-correlation return series.

关 键 词：黄金市场 外汇市场 交互相关关系 多重分形分析 

分 类 号：F830[经济管理—金融学]