非线性、分形与期锌市场价格
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引用本文:文先明,周贤军,张蜜.非线性、分形与期锌市场价格[J].财经理论与实践,2011,(3):31-35
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作者单位
文先明,周贤军,张蜜 (长沙理工大学 经济与管理学院湖南 长沙410114) 
中文摘要:从非线性角度研究期锌市场,运用R/S分析法对期锌市场进行分析,发现期锌市场的Hurst指数为0.6183,其价格收益率序列是分维时间序列,具有分形结构,维数为1.6174。期锌市场的平均周期长度为176天,具有强持续性和相关性。关联系数为19.47%,远远大于国外相关市场。在风险方面,期锌市场的风险比期铜市场的要小,而比股票市场的风险要大。
中文关键词:非线性  分形  Hurst指数  关联系数  期锌市场
 
Nonlinear Concept, Fractal Theory and Futures Zinc Markets Prices
Abstract:In the practice of nonlinear angle, by R/S methods, the Hurst index of zinc in futures market is 0.618282, and its return series is a fractal time series with the dimension of 1.6174. The average cycle time of future zinc market is 176 days with the correlation coefficient for 19.47% which is far beyond that of abroad market. To the risk, the risks in future Zinc market is less than those in future copper market, while higher than those in the stock market.
keywords:Nonlinear  Fractal  Hurst index  Correlation coefficient  Zinc Markets
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