Multifractal Analysis Of The Silver Futures Markets In China

In this thesis, the fluctuation complexity of the logarithmic returns of closing prices of the silver futures contracts in China’s futures markets is first investigated by using multifractal analysis methods. It is confirmed that the closing price series of the silver futures has the multifractal features, and the fluctuations of prices in the markets are not stable. Furthermore, a short-term prediction to the silver futures prices is also made. Then, the asymmetric multifractal complexity of the silver futures markets of Shanghai and New York is investigated by asymmetric multifractal detrended fluctuation analysis. It is confirmed that the asymmetric multi-scaling behaviors exist in the two markets. In addition, the strengths of multifractality of the series with positive and negative trends in the two markets are contrasted and analyzed. Finally, the origins of both the multifractality and the asymmetric scaling behaviors are also discussed. The structure of this thesis is as follows:Chapter 1 is the introduction. The methods of fractal theory and their applications in the field of financial market analysis are briefly introduced. Among them, we introduce emphatically the applications of the multifractal detrended fluctuation analysis and the asymmetric multifractal detrended fluctuation analysis. In addition, we introduce briefly the main work we have done in this thesis.Chapter 2 is the methodology. We introduce in detail the methods of multifractal detrended fluctuation analysis and the asymmetric multifractal detrended fluctuation analysis. These methods are the main tools we apply in the study.Chapter 3 is the empirical researches. We select China’s silver futures market and US silver futures market as research objects. We first analyze the multifractal characteristics of the logarithmic returns of closing prices of the silver futures contracts in China’s futures market by using MF-DFA, and then research into the asymmetric multi-scaling behaviors of the logarithmic returns of closing prices of the silver futures markets for Shanghai and New York by asymmetric multifractal detrended fluctuation analysis.Chapter 4 is the result analysis. We first use the multifractal detrended fluctuation analysis to investigate the high frequency data of every 5 minutes of the logarithmic returns in Shanghai silver 1312 futures contracts. And then, we use the asymmetric multifractal detrended fluctuation analysis to investigate the high frequency data of every 60 minutes of the logarithmic returns in Shanghai silver 1406 futures contracts and COMEX silver futures contracts. The results show that the logarithmic returns in Shanghai silver 1312 futures contracts have the multifractal characteristics and the degree of multifractal is moderate. Besides, the logarithmic returns in Shanghai silver 1312 futures contracts have long-range correlation, too. The multifractal characteristics exist in the logarithmic returns in Shanghai silver 1406 futures contracts and COMEX silver futures contracts and the s with positive and negative trends. The origins of both the multifractality and the asymmetric scaling behaviors are the fat- tailed distribution.In Chapter 5, we summarize the main research results and point out the shortcomings. The prospects of further research in future are given.