A Study on the Aluminium Future Market Efficiency

摘要

This paper studies the efficiency of aluminum future market by Zipf-typed Analysis model, which was used to natural language field. We transformed the return of aluminum future to a time series only contained the characters of -1, 0, 1 by certain thresholds. We inspected the values of absolute frequencies and relative frequencies of the time series and observed a weak phase transitions phenomena in aluminum future market. It means that noise traders and fundamentalists basically kept their trading behaviors at all time scales. We found every phase is affected by the heterogeneous agents, no-certain agent can control any phase which gave an illustration of aluminum future market efficiency.