Title :
A Research on the Fractal Properties of Aluminum Future Market
Author :
Zheng, Feng ; Lai, Binhui
Author_Institution :
Sch. of Econ. & Manage., North China Univ. of Technol., Beijing, China
Abstract :
The fractal properties and scaling behaviors of aluminum future price is numerically investigated by Detrended fluctuation Analysis (DFA) of a scaling analysis method which is used to estimate long-range power-law correlation exponents in noisy signals. Through DFA method, the scaling exponents α of DFA1, DFA2, DFA3, DFA4 and DFA5 are inspected. Moreover, the relationship of time cales and the scaling exponents α is studied carefully. The results show that the phenomena of fractal can be detected and the long-range memory is found at the time series of the aluminum future price. It means that the aluminum future market is not weak-formed efficiency and the price of aluminum future follows a bias random walk.
Keywords :
fractals; industrial economics; pricing; time series; aluminum future market; aluminum future price; bias random walk; detrended fluctuation analysis; fractal properties; power law correlation exponents; scaling analysis method; time series; Aluminum; Correlation; Doped fiber amplifiers; Fitting; Fluctuations; Fractals; Time series analysis; Aluminum Future Market; Fractal; Long-range memory; Scaling;
Conference_Titel :
Information Engineering (ICIE), 2010 WASE International Conference on
Conference_Location :
Beidaihe, Hebei
Print_ISBN :
978-1-4244-7506-3
Electronic_ISBN :
978-1-4244-7507-0
DOI :
10.1109/ICIE.2010.164
