螺纹钢线材市场的多重分形特征——基于上期所的实证研究

运用时间序列分析、多重分形谱以及重标极差分析方法(R/S分析法)对我国螺纹钢线材市场收益率序列进行实证研究.结果表明,我国螺纹钢和高线两种钢材收益率序列具有尖峰厚尾特征,并不服从正态分布,价格之间存在长记忆性,市场未达到弱势有效,从而质疑有效市场假说的合理性.且二者均存在明显的多重分形特征,价格仅用单一的标度指数对其进行描述是不充分的,多重分形分析方法为更好地描述钢材价格的变化规律提供了有力的工具.

Multi-fractal Characteristics of the Rebar and Wire Rod Markets: an SHFE-based Empirical Study

Based on the time series analysis， multi-fractal method and fractal rescaled range analysis (the R/S method)， an investigation on the time series of returns on the rebar and wire rod markets in China was done empirically. It was found that the time series of the returns on both steels are characterized by being leptokurtic and heavy-tailed， which are not normally distributed and show a long-term memory between prices， thus indicating that the rebar and wire rod markets don’t reach the soft efficiency. The efficient market hypothesis is thus to be queried. The scale variations of time series show that a single-scale index is insufficient to describe the price fluctuations of commodities. However， the multi-fractal analysis as a powerful instrument can serve to describe more accurately how the prices of rebar and wire rod vary.