Multi-fractal Spectrum Analysis Of Futures Market Based On Wavelet Transform

In recent years, many researchers from the fractal point of view, discussed China's financial market efficiency and volatility, and made some important achievements. However, most studies have focused on the stock market, futures market for the relatively small study. In this paper, we integrate wavelet and fractal theory and apply them in the data of Dalian Exchange and Chicago Board of Trade. Due to various factors, futures often contain long-term trends, this paper used the method of wavelet decomposition and reconstruction to eliminate long-term trend term, and then analyze the multifractal characteristics.This article includes the following aspects of the research content:1. The theory of multifractal is introduced. Applying the partition function to diagnose the existence of multifractal characteristic in the soy futures closing price data of Dalian Exchange and Chicago Board of Trade, and the Dalian futures market have stronger multifractality characteristics than the Chicago futures market.2. The theory of wavelet analysis is introduced. Used wavelet transforms method to eliminate the noise of time series, and discussed the wavelet basis function, the decomposition level and the weighting factor q. After wavelet transform, singular spectrum width of Dalian soybean changed greatly, Dalian soybean sequence shows the noise and long-term trend term on the multifractal spectrum of greater influence. It indicates that the noise and long-term trend of Dalian soybean sequence has great influence on the multifractal spectrum.3. This article also analysis and study domestic and international futures markets from the opening price, the highest price, the lowest price, the closing price and the trading volume. Dalian soybean futures market is similar to Chicago Board of Trade. Their opening price, highest price, lowest price, closing price are very similar, very weak multifractal characteristics. For Shanghai copper futures, the multifractal spectrum of volume is different from the opening price, highest price, lowest price, closing price, The graphα～f(α) of volume is more close to the bell. The opening price have stronger multifractality characteristics compared to the highest price, the lowest price and the closing price.