Title :
Notice of Retraction
Statistical properties of return and volatility in Chinese metal futures market
Author_Institution :
Sch. of Bus., East China Univ. of Sci. & Technol., Shanghai, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
In order to investigate the efficiency of Chinese metal futures market, we studied the daily price series of China´s copper and aluminum futures market. It was proved that the center parts of the distribution have a exponential form, followed by power-law tails, and the power-law exponent is larger than 3. Moreover, based on detrended fluctuation analysis (DFA), long memory was found in return and volatility series, which denies the Efficient Market Hypothesis (EMH).
Keywords :
marketing; metals; pricing; statistical analysis; Chinese metal futures market; DFA; EMH; detrended fluctuation analysis; efficient market hypothesis; power law tails; power-law exponent; statistical properties; Copper; Correlation; Doped fiber amplifiers; DFA; econophysics; long-memory; power-law;
Conference_Titel :
Advanced Management Science (ICAMS), 2010 IEEE International Conference on
Print_ISBN :
978-1-4244-6931-4
DOI :
10.1109/ICAMS.2010.5553033
