The Research On Fractal Wave Characteristics And Risk Of The Gold Market

Gold as a commodity and financial dual attributes with the scarcity of special commodity, is not only an important part of each country’s foreign exchange reserves, but also a very important financial asset, hedging and investment tool. Since the financial crisis broke out in2008, the global economy has been hit hard, slow recovery in developed countries, and showed constantly repeated momentum. Especially in the European debt crisis has not yet been fully resolved, global oil prices continue to soar, growing emerging market inflation expectations in the economy, gold becomes the focus of attention of investors. But as the U.S. economic recovery, dollar has strengthened, gold prices fell in2013entered the stage, the gold market risk increased. Therefore, the study of the law of the gold market price fluctuations, Explore scientific and rational approach to risk management gold market is particularly important.Based on the ideas and methods of Fractal Financial theory，which is an important part of Nonlinear Financial theory. The research from the non-linear nature of the gold market, by using JB and QQ plot normality test methods, BDS and LB-Q correlation test method, R/S analysis method was used to prove the gold market nonlinear characteristics of non-normality, correlation, fractal characteristics, to explore the laws of the gold market volatility. Select the world’s largest gold market-London Gold Market1975-2012gold price daily time series of the study sample, the empirical results show that the logarithmic returns of the gold market with the "fat tail" feature, and there is volatility clustering; gold market time series correlation and fractal characteristics; gold market price fluctuations in the presence of long memory time series and non-cyclical nature, the average cycle time is2890days.In the gold market risk management study, based on fractal characteristics of the gold market for the first time will be applied to the degree of risk indicators vector gold market risk research. Empirical results show that the risk of vector of risk management methods based on fractal characteristics of the gold market in the greater effectiveness of risk management. High absolute risk evaluation index of dense regions often means the emergence of new market uncertainties, such as the economic crisis, global political events, which is consistent with the actual.