Study On The Fractal Characters And Tendencies Of RMB Exchange Fluctuations

Foreign Exchange Rate fluctuation has been a focused issue in economic domain.Coming with the reform of China's exchange rate regime are the deeper marketization of RMB exchange rate formation mechanism and the further expansion of exchange rate fluctuation.Such uncertainty of exchange rate fluctuation exerts vast impact on the society and the economic domain.Thus,for the sustainable and rapid development of China's economy,accurately predicting the exchange rate fluctuation is of great significance.Foreign exchange market is an essential part of financial market.The study of the complexity of financial market is related to the doubt on the Efficient Market Hypotheses(EMH).Despite the difficulty of explaining the various phenomena in financial market by using EMH,the birth of Fractal Market Hypothesis(FMH)provides the financial market with a new perspective.FMH theories include fractal theory,Chaos Theory and Fractal Dimension in the financial market study,and these non-linear theories and approaches more fit into the real situation of financial market to offer more accurate analysis.Basing on FMH,this article adopts various statistic approaches and fractional approaches to conduct theory study and empirical analysis of the fractional features in foreign exchange market.The research studies show that RMB exchange market is a non-efficient market with obvious multi-fractal features,and it is of certain predictability.In view of this result,the writer structures the Wavelet Artificial Network Model based on Multi-fractal Spectrum and the GSSM Model,so as to do a short-term forecasting for the trend of RMB exchange rate fluctuation.The result suggests that the effect of Multi-fractal Spectrum—Wavelet Artificial Network model is the most ideal,so this model can be applied to the short-term prediction of the financial time series with multi-fractal features.This new model can be a convincing reference for the management and precaution of risks in the financial area.This article includes 5 chapters with the following structure.Chapter 1.Introduction.This chapter generally depicts the study background,the significance and the related domestic and international research references,and this section also describes the major problems,research design,main content,innovative aspects and shortcomings.Chapter II.Theories study and research methods.Theories study mainly illustrates the birth,development and application of Fractal Marketing Theory,points out the advantages of this theory in financial domain,and sets the theoretical base for further study.The study of approaches introduces various test and prediction methods of single fractal structure and multi-fractal structure,providing the empirical study with technical support.Chapter 3.The analysis of the fractal features of RMB exchange rate fluctuation.This analysis choses bilateral CNY-USD rate to represent RMB bilateral exchange rate market and picks RMB real effective exchange rate(RMB REER)to represent RMB foreign exchange rate.By the empirical study on the fractal features of RMB exchange rate fluctuation since the foreign exchange reform of 2010,this article exhibits apparent multi-fractal features of CNY/USD exchange rate return series and RMB real effective exchange rate series.In addition,the multi-fractal strength of RMB real effective exchange rate series is even higher,so the foreign exchange rate prediction is more effective.Basing on the test of the fractal features of two series,this chapter also comes to many vital conclusions and correspondent economic meaning explanation,providing basis for the political recommendations in Chapter 4 and 5.Chapter 4.The predicted trend of RMB exchange rate fluctuation.This chapter organizes Multi-fractal Spectrum-Wavelet Artificial Network(mfs-wan)Model and Multi-fractal Spectrum-Gssm(mfs-gssm)Model,compare the prediction effect of both,and choses the one with better prediction effect to predict the RMB exchange rate fluctuation in the short term.Chapter 5.Study conclusions and political recommendations.This chapter summarizes the multi-fractal features of RMB exchange rate market,interprets the economic meaning,comments on the prediction effect of the models that base on multi-fractal spectrum,and predicts the trend of RMB exchange rate fluctuation.Finally,this chapter also combines the real situation of the foreign exchange market in China to offer the related political recommendations.