Empirical Analysis of the Fractal Features Analysis on London Gold Futures Market
Applied and Computational Mathematics
Volume 4, Issue 3, June 2015, Pages: 130-134
Received: Apr. 5, 2015; Accepted: Apr. 14, 2015; Published: May 4, 2015
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Authors
Hong Zhang, School of Information, Beijing Wuzi University, Beijing, China
Li Zhou, School of Information, Beijing Wuzi University, Beijing, China
Jian Guo, School of Information, Beijing Wuzi University, Beijing, China
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Abstract
In this paper, we study the fractal characteristics of the futures market. We take the empirical study on London Gold Futures yield by Rescaled Range Analysis, analyzing the fractal characteristics of the futures market. We further determine fractal characteristics and the structure of the nonlinear time series through random disturb the original time series observation sequence. The result of R/S analysis shows that the movement of market prices of the financial markets has obvious nonperiodic circle, with Hurst index large than 0.5 and C (t) large than 0, which indicates clear fractal properties. And the result also shows that the influence of price limit on the fractal properties of London Gold Futures Market is very remarkable.
Keywords
Fractal Characteristics, Nonlinear Time Series, R/S Method
To cite this article
Hong Zhang, Li Zhou, Jian Guo, Empirical Analysis of the Fractal Features Analysis on London Gold Futures Market, Applied and Computational Mathematics. Vol. 4, No. 3, 2015, pp. 130-134. doi: 10.11648/j.acm.20150403.15
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