Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

Study on Fractal of Gold Spot Market in China

Author WeiZuo
Tutor YinKeDong
School Ocean University of China
Course Finance
Keywords Nolinear Fractal R/S method MFDFA method the fractalinterpolation model
CLC F832.5
Type Master's thesis
Year 2013
Downloads 3
Quotes 0
Download Dissertation

As the foundation of the modern financial research, the efficient markethypothesis has been questioned and cannot explain well market behavior. At this time,fractal theory, a new branch of nonlinear science is put forward. Fractal theory mainlystudies the nonlinear system of irregular or non-smooth individual, and thecharacteristics and structure of complex systems can be explained well by means offractal theory. Recently, as a tool of hedge and risk prevention, gold has been the idealplace for investors and short hedger. And the gold market price fluctuations also havebeen put much intention. Considering the defects of effective market theory whenanalyzing financial markets, this thesis attempts to provide a more accurateunderstanding of gold spot market in China with nonlinear methods and theories, andanalyzes the characteristics and behavior of the market fluctuation and the reasonswhy fractal structure is put forward. In this thesis, the research work and maincontribution focus on the following aspects.Firstly, this paper reveals the limitations of efficient market theory, namely theparticipants of the markets is not completely rational, yield does not follow a randomwalk and the market price has a nonlinear response to the information. At the sametime, this paper combs systematically the fractal theory and analysis method, analyzesthe possibility of the application of fractal theory studying the nonlinear and complexsystem in the gold market.Secondly, it determines the stationary of the data and then smoothes it. At thesame time it analyzes the sequence of yield after processing with normality test, linearregression, nonlinear test, R/S method and box dimension method. The research hasmainly done the following things:1) It judges comprehensively the stationary of thedata by ADF, PP and operates normality test, linear test and nonlinear test on the yieldafter stabilized.2) It calculates Hurst index of daily yield and weekly yield sequencesusing rescaled range analysis method, the empirical results show that the gold marketis fractal and time sequence is associated with long-term memory with the cyclelength of112days.3) It calculates the box dimension of time series using boxdimension method, verifyThe empirical results show that both daily and weekly return series have obviousfractal structure and the spot market volatility is persistent and has long memory.Thirdly, it continues to study multi-fractal characteristics of gold spot market andits influencing factors and reasons using multi-fractal method. Research work inmainly:1) Compute the generalized Hurst index, the scale function and singular index,the multifractal spectrum of prime time sequence using multifractal eliminatingfluctuations trend analysis. The result shows that local structure of time series existsmulti-fractal characteristics.3) Analyzes the reason why market appears fractalstructure.Finally, a fractal interpolation model is built and fractal interpolation curve fitsafter empirically testing the fractal feature of long-term memory and scale invariance of gold spot market in China, and forecast Gold spot market prices. Prediction resultsare in good agreement with the actual situation providing the reference to knowmarket and predict market for market investors and managers.

Related Dissertations
More Dissertations