The Research Of Volatility Behavior Of Chinese Copper And Aluminum Futures' Price

With the development of modern financial theory, EMH (Efficient Market Hypothesis) are questioned more and more scholars. At the same time, FMH (Fractal Market Hypothesis) developed from nonlinear dynamics gradually replaced the EMH, and became an important research area in recent years.In this paper, based on the 2000-2009 time series of daily price, we adopted some of relatively mature and stable approaches in fractal theory, and researched two representative futures of Chinese future market-copper and aluminum' volatility behavior from the view of return and volatility, and found some interesting results:the logarithmic return of both of these two metal future has a clear "peak and fat tail" distribution, and the main part of the distribution has a distinct exponential form, followed by clear power-law tails, which is quite different from mature financial markets' Negative Cubic Law; by the DFA method, which is commonly used in Econophysics, long memory was found in yield rate and fluctuation rate series of these two metal future prices, which denied the Efficient Market Hypothesis. Results from modified R/S gave a similar conclusion; based on the MFDFA, we found multiple fractal features in both return and volatility time series, but the reason are different. At the same time, the results from Partition Function method gave a similar conclusion.