LME镍、铜期货价格变动的时间序列分析
Rnalysis of Time Series of Nickel and Copper Futures Prices of LME
本文基于2003～2008年伦敦金属交易所（LME）3月镍、铜期货价格的日线数据，运用经典的时间序列R/S分析方法来研究镍、铜期货市场价格的非线性特征。分析结果显示：LME镍、铜期货市场价格波动是典型的有偏随机游动，H值均大于0.5，期货价格时间序列具有持久性趋势；LME镍、铜期货存在大约分别为447天和442天的非周期循环长度。
his paper uses classical R/S analysis of time series to study the non-linear festures of nickel and copper futures prices on the basis of the daily closing price of LME from 2003~2008.Results show that H value is greater than 0.5 ,The observed vaule between the futures prices is time series not independent.Futures prices time series exhibit permanent trends. In addition, it is also found that nickel and copper futures of LME exist one aperiodic length of circulation , and the length is 447 days and 442 days.
王海鸿、齐飞
财政、金融有色金属冶炼
LME镍铜期货时间序列R/S分析赫斯特指数
Nickel and copper futures of LMER/S analysis of time seriesHurst index
王海鸿,齐飞.LME镍、铜期货价格变动的时间序列分析[EB/OL].(2009-02-12)[2025-08-16].http://www.paper.edu.cn/releasepaper/content/200902-552.点此复制
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