CAJ | 학술논문

采用MF-DCCA方法，对我国金属期货市场量价相关性的多重分形特征和长记忆性特征进行实证检验。结果表明我国金属期货量价关系存在着具有一定时间期限的长记忆性特征。通过分析量价相关性存在多重分形特征的原因，进一步证明我国金属期货市场量价相关性存在长记忆特征。多重分形特征和长记忆性的存在意味着将分形市场理论以及其它的非线性理论和方法引入到对我国金属期货市场行为的分析，具有重要的现实意义。
채용MF-DCCA방법，대아국금속기화시장량개상관성적다중분형특정화장기억성특정진행실증검험。결과표명아국금속기화량개관계존재착구유일정시간기한적장기억성특정。통과분석량개상관성존재다중분형특정적원인，진일보증명아국금속기화시장량개상관성존재장기억특정。다중분형특정화장기억성적존재의미착장분형시장이론이급기타적비선성이론화방법인입도대아국금속기화시장행위적분석，구유중요적현실의의。
An empirical test on long memory between price and trading volume of China metals futures market was given with MF-DCCA method. The empirical results show that long memory feature with a certain period exists in price?volume correlation and a further proof was given by analyzing the source of multifractal feature. The empirical results suggest that it is of important practical significance to bring the fractal market theory and other nonlinear theory into the analysis and explanation of the behavior in metal futures market.