Research on Multi-fractal Spectrum Features of Copper Futures in SHFE of Multiple Time Scales

Author

Feng Zheng ; Dan Liu ; Wenyao Zhao ; Zhiyong Tian

Author_Institution

Sch. of Econ. & Manage., North China Univ. of Technol., Beijing, China

Volume

2

fYear

2014

Firstpage

3

Lastpage

5

Abstract

In this paper, we investigated the copper futures in SHFE of multiple time scales. Using Multifractal Detrended Fluctuation Analysis (MF-DFA) and Multifractal Spectrum, we found that multifractal spectrums of different time scales (τ=1, τ=5, τ=22) have the similar shape. Time scale just affects the width (ΔDC) and the fractal dimensions (Δf) of the spectrums. With the time scales, the degree of the multifractal also strengthens. Hurst exponent implies that there exists long-term memory in the copper futures market, which degree also strengthens as the time scale increases.

Keywords

copper; financial management; fractals; stock markets; time series; Hurst exponent; MF-DFA; SHFE; copper futures; fractal dimension; multifractal detrended fluctuation analysis; multifractal spectrum feature; multiple time scales; Copper; Correlation; Fluctuations; Fractals; Shape; Stock markets; Time series analysis; Copper Futures; Hurst exponent; MF-DFA; Multifractal Spectrum;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence and Design (ISCID), 2014 Seventh International Symposium on

Print_ISBN

978-1-4799-7004-9

Type

conf

DOI

10.1109/ISCID.2014.49

Filename

7081923