A Research for Fractal and Chaotic Structure in Chinese Soybean Futures Market

In order to test the chaos and fractal characteristics of futures market in China, this research have introduced the nonlinear R/S analysis with its extension modified R/S analysis method and classical Wolf method to estimate the largest Lyapunov exponent by using the data of soybean futures market. Through the R/S analysis to fractal structure it has been found that the Hurst exponent of the return time series are larger than 0.5 and there are non-Periodic cycles which indicates that Chinese soybean futures market complies with fractional Brownian motion. By analyzing the chaos structure of Chinese soybean futures market, the research also found the fractal dimension and positive Lyapunov exponent of the data series. This reveals that the dynamics in futures market is chaotic.