Analysis Of The US Crude Oil Futures Market Based On The Fractal Market Hypothesis Theory

The theory of efficient market hypothesis, which is based on the linear paradigm, is the mainstream theory of the traditional capital market analysis, which has been regarded as the cornerstone of modern financial theory. But along with the continuous development of the capital market and deepening the research and reality, the market appeared some phenomenon that the effective market hypothesis theory can not explain it. The capital market is no longer considered a linear equilibrium of the system. In this context, the fractal theory which is based on the nonlinear model emerges.In 2014, China Re launched the crude oil futures contract after halted crude oil futures trading more than ten years--- medium sulfur crude oil futures contracts. At present, China's crude oil foreign dependence is higher, and vulnerable to the impact of international crude oil futures market. WTI crude oil futures contract is considered to be the benchmark crude oil futures, price volatility, and even lead to the to Russia for the eye of the storm of the oil crisis and the rouble crisis, our country is in the initial stage of development of the crude oil futures market presents a challenge to the.Based on this, the author attempts to apply the fractal market hypothesis theory to the analysis of the structure of the U.S. crude oil futures market. Firstly, combined with domestic and international research on the fractal market hypothesis theories, expounds the definition of fractal, fractal distribution properties and fractal market hypothesis theory main content and compares it with the efficient market hypothesis. Secondly, select two kinds of fractal analysis research methods---R / S analysis method, V / S analysis method. The analysis use the benchmark price of crude oil futures market——WTI crude oil futures contract as a sample to study the structural characteristics of the crude oil futures market in the United States, and the comparison of these two methods.The results show that through V / S analysis method to get the results with better stability and lower sensitivity, WTI futures return rate time series has long memory characteristic. U. S. crude oil futures market exists fractal feature of market structure.