| 纽约原油期货市场分形特征的R/S分析 |
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| 引用本文： | 谭庆美,吴金克.纽约原油期货市场分形特征的R/S分析[J].甘肃科学学报,2006,18(2):118-122. |
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| 作者姓名： | 谭庆美 吴金克 |
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| 作者单位： | 天津大学管理学院,天津,300072 |
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| 摘 要： | 利用R/S分析方法对纽约期货日收益率和周收益率的分形特征进行了分析.分析结果表明,纽约原油期货市场日收益率和周收益率均具有明显的持久性和长期记忆特性,且日收益率较周收益率具有更多的噪声.同时,V统计结果表明,纽约原油期货市场存在一个大约208 d的非周期循环长度.
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| 关 键 词： | 纽约原油期货 Hurst 指数 分形特征 R/S分析 |
| 文章编号： | 1004-0366（2006）02-0118-05 |
| 收稿时间： | 2006-01-06 |
| 修稿时间： | 2006年1月6日 |
R/S Analysis of the Fractal Features of New York Oil Futures Market |
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| TAN Qing-mei,WU Jin-ke.R/S Analysis of the Fractal Features of New York Oil Futures Market[J].Journal of Gansu Sciences,2006,18(2):118-122. |
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| Authors: | TAN Qing-mei WU Jin-ke |
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| Institution: | Management School of Tianjin University, Tianjin 300072, China |
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| Abstract: | The fractal features of New York oil futures prices have been studied through classical R/S analysis method by using daily and weekly returns of oil futures in the last fourteen years. The result shows that there is an evidence to support long-term dependence and long-term memory in daily and weekly returns time series of New York oil futures, furthermore, daily returns time series have more noises than weekly returns time series. The result also indicates that New York oil futures exist one aperiodic length of circulation and the length is 208 days. |
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| Keywords: | new York oil futures hurst index fractal features R/S analysis |
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