Research On The Multifractal Properties Of Price Volatility For The Futures Markets

With the development of the social economics and technology, the economic globalization has become the mainstream of the world, which is obviously demonstrated by the connection and integration of the international market. Through commodity trade and information dissemination, resources have been optimized worldwide. International futures markets regulate allocation of global commodity and capital, thus it is important to study the fluctuant relationship of features market prices between domestic China and foreign countries.In recent years, many scholars mainly focus their study on the existence of multifractal characteristics of financial futures markets. They rarely try to find out the reason of the existence of multifractal characteristics. In the view of this, we not only use MF-SA, MF-DFA, OS W-MF-DFA to discuss the multifractal natures of the series of logarithmic returns for two futures contracts, soybean and aluminum futures contracts, in the commodities futures market, but also use overlapped sliding window technology to have a research on the reason. Meanwhile, researchers usually emphasize the prices and trade volume series’multifractal features separately, they neglect the dynamic cross-correlation between them. Based on MF-DCCA, we investigate the cross-correlation between the gold futures prices of the Commodity Exchange of New York and the US dollar indexes and describe their internal structural features. The multifractal characteristics of the cross-correlation are also discussed.The main structure of this paper is organized as follows:Chapter 1, Introduction. We mainly elaborate the research’s background and the significance of this article and give the literature reviews at home and abroad. Besides, the research ideas and research framework, research methods and innovations are concluded in this chapter.Chapter 2. Using the improved method of the multifractal detrended fluctuation analysis, we investigate the multifractal natures of the series of logarithmic returns for two futures contracts, soybean and aluminum futures contracts, in the commodities futures market. Combined with the multifractal spectrum method, we make a comparison between their strengths of multifractal ity.Chapter 3. By means of multifractal analysis, the cross-correlation between the gold futures prices of the Commodity Exchange of New York and the US dollar indexes is investigated, and their internal structural features described. Besides, the risk of the international gold markets is also measured quantitatively by fractal statistical parameters. The results show that although there exists a long-term negative cross-correlation between the returns of both the gold futures prices and US dollar indexes, it is nonlinear and dynamic, and possesses multifractal characteristics. Furthermore, it is also found that the strength of the multifractality varies from time to time, meaning that the risk of the gold futures markets changes with time.Chapter 4, Conclusion and prospects. We summarize the analysis results of the front chapters and the main conclusions are given in this chapter. Finally, we point out some of the shortcomings of this paper, and some further research areas are given.