Study On Long Memory Characteristics Of The Copper Futures Market Based On R/S Analysis

Long memory means a continuing relationship between the past and the future of time series, and understanding the market whether takes on long memory or not may be helpful to judge the market trend and fluctuation characteristics for us.Besides,as an important metal resource,the copper is not only an actively traded commodity in financial market,its price fluctuation is also an important warning device in the financial market. Some market analysts pointed out that the price of copper is a good predictor for the global economy and the stock market, especially in the peak of the financial crisis.This paper will be based on the time series high-frequency data of China’s copper future index by reference to three-minute-closing price,using the R/S analysis to study the long memory characteristics of China’s copper futures market, which has very important significance for the analysis and understanding of the copper futures market to judge the market trend and fluctuation cycle and to avoid the risk.This paper is divided into three parts,including introduction,mean body and conclusion.The introduction represents the research background and research meaning, expressing my original intention of writing this article.The main body is divided into four chapters,and in the first chapter,the efficient market hypothesis and fractal market hypothesis are outlined,the related concepts and definitions are defined,the newest research achievements are reviewed, and the research contents and method of this paper are briefly introduced too.The second chapter introduces the R/S analysis method, from the concept, the calculation process, the understanding of Hurst index H value and other aspects, in order to enable the readers to achieve a more detailed understanding and mastery of Hearst index and its principle.The third chapter describes the specific empirical analysis based on the closing price of three minutes high-frequency data time series from China’s copper futures, drawing the relevant conclusion about long memory characteristics of China’s copper futures market.The fourth chapter summarizes the R/S analysis method,and put forward on the thinking and prospect of my own, hoping to make a further refinement in the future research.The conclusion part carries on the summary to the full text.