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

Hong Zhang; Li Zhou; Jian Guo

doi:doi:10.11648/j.acm.20150403.15

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

Hong Zhang, Li Zhou, Jian Guo

Published in Applied and Computational Mathematics (Volume 4, Issue 3)

Received: 5 April 2015 Accepted: 14 April 2015 Published: 4 May 2015

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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), 2024. Published by Science Publishing Group

Keywords

Fractal Characteristics, Nonlinear Time Series, R/S Method

References

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[5]	Fisher, A., Calvert L., Mandelbrot, B. B., Multifractality of deutschmark/US dollar exchange rates[R], Working paper, Yale university, 1997
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[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
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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

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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

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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

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@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}
}

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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  -

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Author Information

Hong Zhang

School of Information, Beijing Wuzi University, Beijing, China
Li Zhou

School of Information, Beijing Wuzi University, Beijing, China
Jian Guo

School of Information, Beijing Wuzi University, Beijing, China

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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

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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

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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

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@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  -

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