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...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 fittther 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.展开更多
基金Project(13&ZD024)supported by the Major Program of the National Social Science Fund of ChinaProject(71073177)supported by the National Natural Science Foundation of China+3 种基金Project(CX2012B107)supported by the Graduate Student Innovation Project of Hunan Province,ChinaProject(13YJAZH149)supported by the Social Science Fund of Ministry of Education of ChinaProject(2011ZK2043)supported by the Key Program of the Soft Science Research Project of Hunan Province,ChinaProject(12JJ4077)supported by Natural Science Foundation of Hunan Province of China
文摘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 fittther 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.
