| Since2002, China has gone beyond the United States as the world’s largest producer and consumer of non-ferrous metal. With the rapid development of urbanization and industrialization, the pulling of domestic demand, China’s demand for nonferrous metal resources will continue to rise and its basic strategic resources will be in an increasingly important position. Whether non-ferrous metal industry can keep healthy development has become the important effect on our country’s economic growth and National Defense Security. However, in recent years, the price fluctuation of nonferrous metal, especially the bronze’s price, has been high and frequent, which formed a huge market risks, and also serious impacted on the China resources security. Therefore, in this context, analyzing of the fluctuating behavior of non-ferrous metal prices, measuring the fluctuations of the market risk has the important practical significance. However, the current research is basically the traditional effective market hypothesis as the foundation, and its strict assumptions cannot fully effectively explain many financial phenomenon. At the meantime, the fractal theory as frontier theory of a market complexity research provides a new theoretical framework for the study of the market price act.In this context, this paper introduces the theory of fractal market to non-ferrous metal prices fluctuating behavior analysis, identifies and characterizes the non-ferrous metal prices fluctuating behavior from a new angle of view, and then applies the fractal characteristics parameters in the measurement of the fluctuations risk contained in the market. It of course has great theoretical and practical significance. Through the research, this paper concluded that the following conclusions:(1) The metal market is a complex system containing obvious fractal characteristics. The return series of copper and aluminum in Shanghai were shown significant "peak, fat tail, partial" characteristics, which are not normal distribution, indicating that the traditional efficient market theory will not be able to better understand the deeper characterization of the metal market. The return series of metal fractal dimension is between1-2in different periods, which indicates the metal markets do not follow a random walk process but is a fractal structure of the market. It’s price behavior is a random walk process containing trend and noise. The reason of market fractal characteristics is the long-term memory characteristics and the "peak fat tail" distribution. Therefore, the introduction of fractal market theory to the analysis of the behavior of non-ferrous metal price volatility has an important theoretical and practical significance.(2) Metal futures market still needs further development and improvement. The multifractal extent of the volume and price of the metal market in China from January in2004to December in2007, from January to December in2008and from January in2009to July in2011and so on three stages showed that in2008, the volume and price of the multifractal characteristics is the most obvious, which indicates that the phase correlation between the metal futures market volume and price fluctuations is more intense. This may be due to the impact of financial crisis and the global commodity markets, china’s metal market is also panic in the market, an increase in noise, volume and price become more complex due to the sharp market fluctuations in behavior. In comparison, since2009, multifractal degree of market volume and price correlation gradually weakened in China’s metal futures, indicating that China’s futures market is becoming more and more relatively effective state.Comparing LME metal futures market, the fractal characteristics of volume and price correlation are more obvious, indicating that China’s metal futures market is becoming effective gradually, but the effectiveness is still lower than the mature LME metals futures market. The effectiveness of the futures market still need to be further developed.(3) the correlation of quantity and price in metal market also has the long-term memory and multifractal characteristics. The existence of multifractal characteristics of price-quantity relationship means that the price and trading quantity exist non-linear dependencies, the premise of the efficient market hypothesis to study the relationship between quantity and price may be incorrect. In addition, with the understanding and analysis of market behavior, we should also consider the impact of price and quantity, rather than separate quantization. Only discussing one of these variables, ignoring the other variables, the understanding of the market may be biased.(4) The parameters of the fractal characteristic introduced into risk measure of the metal market is feasible and effective. Volatility Measure indicators based on the multifractal characteristics parameters are used in the VaR model, and to measure risk under different quantile of non-ferrous metals market, compare the result of risk measure in VaR model based on realized volatility.The results show that the multifractal characteristics parameters are able to better identify the metal in the return series of behavioral information and laws.Under some quantile, since VaR model based on the multifractal characteristics of parameters has excellent risk identification and measurement, multiple fractal Parameter introduced into the metal market risk management has the feasibility and effectiveness.. |
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