摘要
利用重标极差(R/S)方法,对沪铜期货不同时间标度收益率序列的长记忆特征进行分析.分析结果表明,沪铜期货表现出持续性的状态,价格具有长记忆性.同时,沪铜期货市场日收益率、周收益率存在长度不同的平均循环周期;但月收益率没有检测到类似的循环周期.这表明沪铜期货的周期特性与时间标度的选取方式存在一定的联系,进一步证明了沪铜期货价格的长记忆性.
Based on the R/S analysis,this paper conducts the long-term memory characteristics on various time-scale logarithmic return time series of copper future contract in Shanghai Future Exchange(SHFE).The results indicate that copper future contract market exhibits permanent trends and the price has long-term memory.It is also found that daily return system and weekly return system have different periodic lengths of circulation,while monthly return system has no similar periodic length of circulation.This reflects periodic feature of copper future contract in SHFE has some relations with selection mode of different time-scale logarithmic return time series and further proves the long-term memory characteristics.
出处
《辽宁大学学报（自然科学版）》
CAS
2013年第1期14-20,共7页
Journal of Liaoning University：Natural Sciences Edition
基金
教育部人文社会科学研究青年基金项目(11YJC630299)
关键词
沪铜期货
分形
R/S分析
长记忆特征
copper future contract
fractal
R/S analysis
long-term memory characteristics
