Price Fluctuations Behavior Of Enenery And Finance Market With Management Of Portfolio From Fractal Perspective

Traditional energy plays a significant role in economy development. However, the dizzying pace of our economic development over the past decades has largely attributed to an extensive use of fossil fuel, say coal and oil. Since the energy shortage and environmental pollution have become increasingly severe, developing renewable energy industry as a priority to achieve the sustainable development of the future.The rapad development of economy promotes the prosperity of the Chinese financial market. The enthusiasm of investment in fossil fuel increases. However, new energy has a higher profit recently, which in turn deceased the interest of traditional energy. But undeniable, fossil fuel still dominates Chihina's current energy use while new energy is much more underdeveloped.From this viewpoint, umder the present energy policy context, the behavior of new energy and the relationships between new energy and fossil fuel draw muh attention.In fact, the fluctuation of energy price has been effected is not only driven by supply and demand, but affected by the fluctuation of financial markets, showing obvious financial attributes. With the increasing relation between energy area and financial markets, it's been a great interest on the correlation between energy and financial market structure. Therefore,it's necessary to put energy and financial market into a whole framework and research the dynamic of underlying mechanism.Based on multifractal theory, this dissertation explores dynamic mechanism of new energy, the traditional energy, stocks, bonds, foreign exchange, fund market, with the portfolio investment. Since the existence of stylized factes challenged the validity of efficient market hypothesis, it is more reasonal to illustrate the underly mechenism of the market from multifractal view. The main contents are as follows:First of all, the fluctuation behaviors of the indices daily return series returns are analyzed by multifractal detrend fluctuation analysis and multifractal spectrum analysis. The results show that the fluctuation of price exhibit long-range correlation and multifractality at different time scales. Also, the underlying mechanism of multifractality is analysed.Secondly, the cross-correlaion between different markets are analysed from multi fractal perspection. Emplying multifractal detrended cross-correlation analysis, the multifractal of cross-correlation is studied at different time scale, found that the existence of power-law cross-correlations among different markets. This fills the gap in the cross-correlation measurement area of traditional measurement and statistical methods. The results imply that different types of market participants (say investors and hedgers) may make different decision at the different time scales. It's helpful to understand and describe the dynamic mechanism of the complex financial system and asset allocation and portfolio management,and also enrich cross-correlation analysis under multifractal market.Thirdly, we empirically investigate the effects of the financial crisis on the fluctuation behavior and cross-correlations features. It's shown that the market price fuctuations and cross-correlation are dynamic, and the long range auto- and cross-correlation of the large fluctuations exhibit more persistent after the crisis while the small fluctuations exhibit more anti-persistent. Besides, through analysis the evolution of the local fractal parameters, results found that financial crisis has a negative effect on the stability of markets and changed the dynamical behaviors of long range correltion. And the behavior of the local Hurst and cross-correlation exponent prior to drastic changes in financial series signal is analyzed.Then,in order to improve portfolio optimization, a multifiatal portfolio model,composed of detrended cross-correlation coefficients is proposed. In contrast to Markowitz mean- variance portfolio model, the multifractal portfolio model can be decomposed in different time scales, makes it possible to improve the investment effect and more valuable to investigate the scale behaviors of portfolios. And the empirical results based on multifractal portfolio model imply that with the development of new energy, new energy becoming more and more effective in hedging.At the end, some suggestions are put forward.