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The Analysis of Volatility for Non-Ferrous Metal Futures in Chinese Market Based on Multifractal Perspective

Mathematics, ISSN: 2227-7390, Vol: 12, Issue: 24
2024
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Study Results from School of Business Broaden Understanding of Mathematics (The Analysis of Volatility for Non-Ferrous Metal Futures in Chinese Market Based on Multifractal Perspective)

2025 JAN 03 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- Data detailed on mathematics have been presented. According to

Article Description

The goal of this paper is to study the behavior of non-ferrous metal futures’ volatilities in Chinese future market by applying a multifractal perspective. In particular, in order to obtain key indicators that describe the characterization of non-ferrous metal futures’ volatility behavior, we uses noise-removed EMD-MF-DFA and original MF-DFA methods to conduct a comparative analysis on the return time series of four non-ferrous metal futures, which are Aluminum future, Copper future, Zinc future and Lead future traded on the Shanghai Futures Exchange. This numerical study shows that the indicator established in characterizing the volatility of four non-ferrous metal futures is robust. In addition, we have the following four conclusions: First, there are obvious multifractal phenomena of non-ferrous metal futures in Chinese market, and it shows that Aluminum future has the largest degree of multifractality, and Copper future has the smallest degree of multifractality, which indicates that Aluminum future has the highest volatility complexity, and Copper future has the smallest volatility complexity. Second, it is found that the volatility complexity of these four non-ferrous metal futures is caused by long-range correlation. Third, this study also supports the current judgment that “Copper future has the greatest investment opportunity”. Finally, combined with analysis results, we also give suggestions to investors, producers, and regulators body for non-ferrous metal futures market in China.

Bibliographic Details

Tao Yin; Yiming Wang; Shuang Shuang Huang; George Xianzhi Yuan

MDPI AG

Computer Science; Mathematics; Engineering

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