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首页> 外文期刊>Physica Scripta: An International Journal for Experimental and Theoretical Physics >Long-range memory and multifractality in gold markets
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Long-range memory and multifractality in gold markets

机译：黄金市场的长期记忆和多重性

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摘要

Long-range correlation and fluctuation in the gold market time series of the world's two leading gold consuming countries, namely China and India, are studied. For both the market series during the period 1985-2013 we observe a long-range persistence of memory in the sequences of maxima (minima) of returns in successive time windows of fixed length, but the series, as a whole, are found to be uncorrelated. Multifractal analysis for these series as well as for the sequences of maxima (minima) is carried out in terms of the multifractal detrended fluctuation analysis (MF-DFA) method. We observe a weak multifractal structure for the original series that mainly originates from the fat-tailed probability distribution function of the values, and the multifractal nature of the original time series is enriched into their sequences of maximal (minimal) returns. A quantitative measure of multifractality is provided by using a set of 'complexity parameters'.
机译：研究了中国和印度这两个世界主要黄金消费国的黄金市场时间序列的长期相关性和波动性。对于1985-2013年期间的两个市场系列，我们都观察到固定长度连续时间窗口中收益的最大值（最小值）序列中的记忆存在长期持续性，但是从整体上看，该系列是不相关的。根据多重分形趋势波动分析（MF-DFA）方法，对这些序列以及最大序列（最小数）进行了多重分形分析。我们观察到原始序列的弱分形结构主要源自值的胖尾概率分布函数，并且原始时间序列的多重分形性质丰富了它们的最大（最小）收益序列。通过使用一组“复杂性参数”来提供定量的多重分形度量。

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