MIXED MULTIFRACTAL ANALYSIS OF CRUDE OIL GOLD AND EXCHANGE RATE SERIES
MIXED MULTIFRACTAL ANALYSIS OF CRUDE OIL GOLD AND EXCHANGE RATE SERIES
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原油、黄金和汇率序列的混合多重分形分析
DOI：
10.1142/s0218348x16500468
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发表时间：
2016-12-01
影响因子：
4.7
通讯作者：
Su, Weiyi
中科院分区：
文献类型：
--
作者：
Dai, Meifeng;Shao, Shuxiang;Su, Weiyi
对一个时间序列，如原油、黄金和汇率序列的多重分形分析是经常被提及的。本文应用经典的多重分形谱和混合多重分形谱研究了原油、黄金和汇率序列的多重分形性及其内在联系。结果表明，黄金和原油的分维总体上大于汇率(人民币兑美元)的分维，反映了黄金和原油的价格序列具有较强的异质性。它们的混合多重分形谱有漂移，曲线图不对称，因此每对原油、黄金和汇率序列之间存在低水平的混合多重分形图。
The multifractal analysis of one time series, e.g. crude oil, gold and exchange rate series, is often referred. In this paper, we apply the classical multifractal and mixed multifractal spectrum to study multifractal properties of crude oil, gold and exchange rate series and their inner relationships. The obtained results show that in general, the fractal dimension of gold and crude oil is larger than that of exchange rate (RMB against the US dollar), reflecting a fact that the price series in gold and crude oil are more heterogeneous. Their mixed multifractal spectra have a drift and the plot is not symmetric, so there is a low level of mixed multifractal between each pair of crude oil, gold and exchange rate series.