A Research on the Fractal Properties of Aluminum Future Market

The fractal properties and scaling behaviors of aluminum future price is numerically investigated by Detrended fluctuation Analysis (DFA) of a scaling analysis method which is used to estimate long-range power-law correlation exponents in noisy signals. Through DFA method, the scaling exponents α of DFA1, DFA2, DFA3, DFA4 and DFA5 are inspected. Moreover, the relationship of time cales and the scaling exponents α is studied carefully. The results show that the phenomena of fractal can be detected and the long-range memory is found at the time series of the aluminum future price. It means that the aluminum future market is not weak-formed efficiency and the price of aluminum future follows a bias random walk.