| Peer-Reviewed

Empirical Analysis of the Fractal Features Analysis on London Gold Futures Market

Received: 5 April 2015     Accepted: 14 April 2015     Published: 4 May 2015
Views:       Downloads:
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.

Published in Applied and Computational Mathematics (Volume 4, Issue 3)
DOI 10.11648/j.acm.20150403.15
Page(s) 130-134
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Fractal Characteristics, Nonlinear Time Series, R/S Method

References
[1] Terence C. Mills. Statistical analysis of high frequency data from the Athens stock exchange [J].Physica A, 2001, 293: 566-572.
[2] Marc-Etienne Brachet, Erik Taflin, Jean Marcel Tcheou. Scaling transformation and probability distributions for financial time series [J]. Chaos, Solitons and Fractals, 2000, 11: 2343-2348.
[3] Verslin M. C., Belward J. A., Fractal dimensions for rainfall time series [J], Mathematics and computers in Simulation, 1999(48): 437~446
[4] Ge Shirong, Chen Guoan, Fractal prediction models of sliding wear during the running in proecess[J], Wear, 1999(231): 249~255.
[5] Fisher, A., Calvert L., Mandelbrot, B. B., Multifractality of deutschmark/US dollar exchange rates[R], Working paper, Yale university, 1997
[6] Mandelbrot B. B., Fisher A., Calvert L., A multifractal model of asset returns[R], Working paper, Yale university, 1997.
[7] Chung Yuan, Statistical properties of volatility in fractal dimension and probability distribution among six stock markets---USA . Japan, Taiwan, South, Korea, Singapore, and HongKong[R], Working paper, New York, SSRN, id425300, 2004
[8] Cornelis A. Los, Measuring the degree of financial market efficiency: An essay[R], Working paper, New York, SSRN, id614544, 2004
[9] Yan Olszewski, Building a better fund of hedge funds: a fractal and α-stable distribution approach[R] , Working paper, New York, SSRN, id776064, 2004.
[10] Lawrence A. Cunningham, From random walks to chaotic crashes: the linear genealogy of the efficient capital market hypothesis[R], Working paper, New York, SSRN, id 244670, 2004.
[11] Cornelis A. Los, Rossitsa Yalamova, Multifractal spectral analysis of the 1987 stock[R], Working paper, New York, SSRN, id588823, 2004.
Cite This Article
  • APA Style

    Hong Zhang, Li Zhou, Jian Guo. (2015). Empirical Analysis of the Fractal Features Analysis on London Gold Futures Market. Applied and Computational Mathematics, 4(3), 130-134. https://doi.org/10.11648/j.acm.20150403.15

    Copy | Download

    ACS Style

    Hong Zhang; Li Zhou; Jian Guo. Empirical Analysis of the Fractal Features Analysis on London Gold Futures Market. Appl. Comput. Math. 2015, 4(3), 130-134. doi: 10.11648/j.acm.20150403.15

    Copy | Download

    AMA Style

    Hong Zhang, Li Zhou, Jian Guo. Empirical Analysis of the Fractal Features Analysis on London Gold Futures Market. Appl Comput Math. 2015;4(3):130-134. doi: 10.11648/j.acm.20150403.15

    Copy | Download

  • @article{10.11648/j.acm.20150403.15,
      author = {Hong Zhang and Li Zhou and Jian Guo},
      title = {Empirical Analysis of the Fractal Features Analysis on London Gold Futures Market},
      journal = {Applied and Computational Mathematics},
      volume = {4},
      number = {3},
      pages = {130-134},
      doi = {10.11648/j.acm.20150403.15},
      url = {https://doi.org/10.11648/j.acm.20150403.15},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.acm.20150403.15},
      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.},
     year = {2015}
    }
    

    Copy | Download

  • TY  - JOUR
    T1  - Empirical Analysis of the Fractal Features Analysis on London Gold Futures Market
    AU  - Hong Zhang
    AU  - Li Zhou
    AU  - Jian Guo
    Y1  - 2015/05/04
    PY  - 2015
    N1  - https://doi.org/10.11648/j.acm.20150403.15
    DO  - 10.11648/j.acm.20150403.15
    T2  - Applied and Computational Mathematics
    JF  - Applied and Computational Mathematics
    JO  - Applied and Computational Mathematics
    SP  - 130
    EP  - 134
    PB  - Science Publishing Group
    SN  - 2328-5613
    UR  - https://doi.org/10.11648/j.acm.20150403.15
    AB  - 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.
    VL  - 4
    IS  - 3
    ER  - 

    Copy | Download

Author Information
  • School of Information, Beijing Wuzi University, Beijing, China

  • School of Information, Beijing Wuzi University, Beijing, China

  • School of Information, Beijing Wuzi University, Beijing, China

  • Sections