基于MF-DFA方法的黄金市场多重分形分析

摘要

This paper analyzes the daily return series of Shanghai gold market and London gold market with multifractal and dispeling tendency fluctuation analysis (MF-DFA ) method. A conclusion is drawn that both of the two markets have multifractal characters. Meanwhile, the multifractal character of Shanghai gold market is more salient than the latter. The analysis provides a new method to realize and research the complex structure of gold markets.%运用多重分形消除趋势波动分析(MF-DFA)方法对上海黄金市场和伦敦黄金市场日收益率数据进行实证研究.分析结果表明:两个黄金市场均表现出多重分形特征,其中上海黄金市场的多重分形特征更为显著,风险性也相对较大.该分析结果为更好地认识和研究黄金市场的复杂结构,提供了新的思路.