A Research On The Characteristics Of CSI300 Index Futures Market Based On Fractal Market Hypothesis

As the foundation of modern financial research,the Effective market Hypothesis(FMH)does not correspond to the real world and fails in explaining market anomalies.The capital market is essentially a complicated nonlinear system.So the fractal theory,one of the nonlinear theories widely used in many fields,is introduced into finance research and known as Fractal Market Hypothesis(FMH).In the other hand,the CSI300 index futures represent a new financial derivative in China securities market.It is expected to perform its functions well in the future as a mature market.With the help of the Fractal Market Hypothesis and related tools,this thesis discusses about the CSI300 index futures market.It begins with introducing the origin,development,theory model and application range of FMH and EMH and the two theories are compared in some respects.It considers that the FMH makes up the defects of EMH that different with real market.FMH is an expansion of EMH and leads a new direction for the study of financial market.Then,the monofractal characteristics of CSI300 index futures market is analysed with Jarque-Bera test,Q-Q test,L-B test,BDS test,the observation of Stable distribution parameters and R/S analysis.The results show the existence of nonlinear relationship,self-similarity and long-term dependence in CSI300 index futures market.We can consider CSI300 index futures market a fractal market with an estimated cycle of 198 days.It also discusses whether the CSI300 index futures market has multifractal characteristics with the modified box-counting method and the multifractal detrended fluctuation analysis.It proves that CSI300 index futures market has multifractal structure.It has a trend of persistence with slight fluctuation and with sharp fluctuation,it shows a trend of anti-persistence.After that,the causes of multifractal characteristics of CSI300 index futures market are discussed.It presents that the long-term memory,fat-tail distribution and extreme value are all the causes of the multifractal characteristics,but the fat-tail distribution plays a leading role.