Research The Application Based On Multi-fractal Spectrum On Copper Futures On SHFE Market

This paper introduced the multi-fractal theory into the copper futures market, to test the price fluctuation.Multi-fractal spectrum is used to express Shanghai copper futures market volatility behavior.Normality tests showed that Shanghai copper futures market presents the obvious "rush and biased" characteristics, does not obey normal distribution. The Q-statistics showed mat Shanghai copper futures market yields sequence in different time scales under the existing serial correlation. Through Hurst index inspection, we found that Shanghai copper futures market presents multi-fractal and long-term memory characteristics.The empirical analysis on Shanghai copper futures market with the multi-fractal spectrum of different trend to order number. The results showed that the first-order MF-DFA multi-fractal spectrum has the strongest fractal intensity. While within the time scale=1,5,22, the empirical results showed that Shanghai copper futures market exists multi-fractal spectrum, the multi-fractal spectrum have over time spectrum width increases with increasing of the scale. And the market presents long-term memory.Then we used the multi-fractal parameters to build models to forecast the risk of Shanghai copper futures market, and the empirical analysis showed risk measure index based on multi-fractal spectrum parameters has good effectiveness and feasibility, which demonstrates that multi-fractal spectrum parameters on Shanghai copper futures market price prediction has a certain capacity.Further, we extended the application of multi-fractal spectrum parameter. We used the multi-fractal parameters to recognize to fluctuation trend turning point, and combing multi-fractal parameters the three days before to develop the trading strategies. The empirical tests verified the strategies are efficient.