The Research of the Characteristics of China's Natural Rubber Futures Market Based on the MF-DFA Method

Zaiqiang HUO, Yan ZHANG, Xiaohua LU, Yanan LI

Abstract


Basing on the MF-DFA method, this paper analyzes the characteristics of China’s natural rubber futures market, which includes the fractal characteristics, effectiveness, long-term memory, market risk and so on. The research reveals the facts that the China natural rubber futures market has not reached the level of weak effective market; it also did not have the characteristics of long-term memory and contains very high risk. Effectively applying the MF-DFA method, this paper aims to improve the accuracy of the calculating result, and putting forward some reasonable suggestions on the development of China’s natural rubber futures market.


Keywords


Multifractal theory; MF-DFA method; China’s natural rubber futures; Effective market theory; Long-term memory; Market risk

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References


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DOI: http://dx.doi.org/10.3968/8711

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