论文标题
通过在贵金属市场中应用的改善MF-DFA模型
Improving MF-DFA model with applications in precious metals market
论文作者
论文摘要
随着全球经济危机和通货膨胀的加剧，具有安全功能的贵金属变得越来越受欢迎。提出了一种改进的MF-DFA方法，以分析贵金属市场的价格波动。基于广泛使用的多重型脱侧波动分析方法（MF-DFA），我们比较了这两种方法，并发现BI-OSW-MF-DFA方法具有更好的效率。本文分析了现货黄金市场与现货银市场之间的多种折断程度以及它们的风险。从数值结果和数字中，发现两个要素构成了时间序列中多纹状体的贡献，而现货银市场的风险高于现货黄金市场的贡献。这种尝试可能会使人们对复杂的贵金属市场有更好的了解。
With the aggravation of the global economic crisis and inflation, the precious metals with safe-haven function have become more popular. An improved MF-DFA method is proposed to analyze price fluctuations of the precious metals market. Based on the widely used multifractal detrended fluctuation analysis method (MF-DFA), we compare these two methods and find that the Bi-OSW-MF-DFA method possesses better efficiency. This article analyzes the degree of multifractality between spot gold market and spot silver market as well as their risks. From the numerical results and figures, it is found that two elements constitute the contributions in the formation of multifractality in time series and the risk of the spot silver market is higher than that of the spot gold market. This attempt could lead to a better understanding of complicated precious metals market.
