| Contrary to the assumption that the actual market conditions, thus using it as the basis of efficient market theory and the theory of capital markets are subject to varying degrees of challenge and challenges. In recent years, emerging long memory theoretical breakthrough investors perfectly rational, independent, normal, linear assumption that the great change in the financial market statistics of the understanding, better able to explain the financial market phenomena, and of the financial markets, asset pricing, risk control, market regulation and price forecasts for a series of major issues is extremely important theoretical and practical significance.In this paper, long memory, using a variety of statistical methods of the Chinese futures market, an in-depth empirical analysis of a large number of theoretical studies. Through qualitative and quantitative method of transactions in futures Several varieties of long memory empirical research and built a long memory to reflect characteristics of ARFIMA model, but also constructed to describe China's futures market volatility in the long memory optimal model based on the thesis of the traditional theories of the capital market to a certain extent, as amended. Through studies, I believe that China's copper futures market, the price of soybean varieties yield sequence with a long memory feature, aluminum, rubber and other characteristics of long memory is not very clear; China's futures market has peak fat-tailed, non-normal distribution, and the more general subject of fractal distribution, the state has continued strong, with a rough circle, and a strong self-similarity, different time, different ranges of some of the volatility has multiple fractal characteristics. In this paper, a relatively new topic, studying ways unique, wide-ranging sample, but a lot of empirical analysis, as long memory problems in the financial sector are the front line, there are still many problems of this study need further exploration efforts. |
PDF Full Text Request