Memory In The Futures Market, Long The High Frequency Data

The HS300stock index futures is a financial derivative product based on the CSI300stock indexes.First, it can reflect comprehensively the characteristic of the A share market. Second. In addition to the HS300stock index, stock index futures market can accurately reflect the changes of the A share market price and the trend of the changes in the future. Within the researches about asset price volatility, long memory researches had broken the assumption of efficient market theory, and provided a new research perspective for asset pricing and risk management. In order to reflect the characteristic of the HS300stock index futures,this paper will carry on the empirical analysis from the perspective of the long memory.First,this article will begin with the definition of long memory and its mechanism.After the efficient market hypothesist, I will introduce the fractal theory.Then,this article will focus on the introduction of two main methods of long memory. Second, by using the modified R/S method and V/S method,I will inspect the existence of long memory in the HS300stock index futures returns sequence. Third, I will decompose the yield sequence by ICSS algorithm,then find out the may causes of long memory by looking for mutations, and check out whether there is short term memory between the yield sequence.The thesis gets conclusion that:1,Under the tests of the modified R/S method and V/S method, the HS300stock index futures showed long memory obviously.2, Between these two methods,the V/S method is much better.3,There are eight point mutations after decomposed by the use of ICSS algorithm.4,After the decomposition,the long memory disappeared.5, The long memory part cannot be explained by structural transformation.