【摘要】 针对期货市场期货价格时间序列运用经典的R/S分析方法来研究期货市场价格的非线性特征,以上海期货交易所铜期货价格的日、周、月收盘价为样本进行R/S分析,并研究赫斯特指数对于不同的时间频率的缩放情况。对日、周、月数据的研究发现,H值均大于0.5,这说明期货价格波动并不遵循有效市场理论,期货价格时间序列的观测值之间不是相互独立的,期货价格时间序列具有持久性趋势。并且样本数据时间频率越高,赫斯特指数越小,反映了期货价格有更多的噪声,日价格更不稳定,比周和月价格有更多的变化。同时发现,沪铜期货存在着一个大约510天的非周期循环长度,进一步证明期货市场价格波动的非随机性。更多还原

【Abstract】 This paper uses classical R/S analysis to study the non-linear festures of futures prices against futures prices time series. Using the daily, weekly and monthly closing price of copper futures in the last ten years from Shanghai futures exchange as samples to conduct R/S analysis. The scale situation to different time frequency of hurst exponent is also studied. Results show that H value is greater than 0.5, which indicates that futures price fluctuation does not follow the effective market theory. The observed value between the futures prices is time series not independent. Futures prices time series exhibit permanent trends. The higher the frequency of sample data the less the value of hurst exponent. This reflects that daily futures prices have more noises, daily prices is more unstable, and there are more changes than weekly and monthly prices. It is also found that Shanghai copper futures exist one aperiodic length of circulation, and the length is 510 days. This further proves that the volatility of futures prices is non-randomness.更多还原