The Empirical Research Of Fractal Characteristics Of RMB Exchange Market

The foreign exchange market analysis is mainly based on the hypothesis of effective market and fractal market hypothesis theory. Efficient market theory can used to test the validity of the foreign exchange market, but it’s not suitable to description the distribution feature of time series from the market. Fractal market theory can used to describe and depict the fluctuations of exchange market time series more systematic, fractal market theory gives further expansion from traditional theory of efficient market, and explain some unexplained behavior and phenomenon from the traditional theory of efficient market.Detrended Fluctuation Analysis DFA can efficiently exchange the brown movement of the exchange rate time sequence. In this paper, we use the DFA to analysis the exchange market which based on the reform of RMB exchange. We found the Hurst index from RMB to the other currency were not consistent with the general random walk process the theoretical value of0.5, Chinese foreign exchange market has obvious fractal characteristics. In addition, the empirical research shows that the exchange rate reform in2005affect Chinese foreign exchange market strongly, the Hurst index significant fluctuations during the exchange rate reform and the financial crisis break, the foreign exchange market efficiency has enhanced to a certain degree.Single fractal theory can only describe macroscopic appearance of the time series fluctuations, it exists lots of defects. Multi fractal theory can make much better analysis on the local structural of foreign exchange market. This article based on sliding window multi fractal de trended analysis method(MFDFA) to research China foreign exchange market rate middle rate of return time series multi fractal characteristics, and found that the RMB exchange rate returns time series of generalized Hurst index h(q) decreases with q, the q from the sliding window MFDFA are generally larger than the traditional MFDFA, and with the q value increases faster incline to stable values. In order to describe appropriately to the market price, We male multi fractal spectrum analysis and origin analysis for the RMB exchange market, we can found that rate of multi fractal spectrum are single peak and Bell image, multi fractal is characterized by long sequences associated and fat tail probability distribution, rearrangement and alternative sequence of multi fractal spectrum width is significantly smaller than the original sequence, the sequence was extreme value elimination, EV rearrangement, the multi fractal characteristics will be weakest, closed to the general random walk process.By the single fractal and multi fractal analysis of foreign exchange market time series, we can understand some internal relationship from the China’s foreign exchange market exchange rate of RMB, which has very important practical significance for our in-depth study and interpretation of the actual exchange rate trading activity.