Fractal Characters of Chinese Copper Future Price Returns

The fractal Characters of copper future price returns in Shanghai Futures Exchange are numerically investigated by the Rescaled Range Analysis (R/S Analysis), a fractal method widely used to detect the persistence and long-range memory in time series. We estimate the values of Hurst exponents H to examine the persistence of the copper future price time series at different time-scales ¿= 1, 2, 5, 10, 22, 66, 132, 164. We also engage V Stat. to detect the range of none-period cycles of the copper futures prices system at the same time-scales.