RS analysis based on crude oil prices fractal char

px215467

Based on R / S analysis of the crude oil price of fractal characteristics of the system

: ANewViewofCycles, PricesandMarketVolatility [M]. 2rded. JohnWiley & Sons, Inc, 1996. [3] KimK, YoonSM. Muhifractalfeaturesoffinancialmarkets [J]. PhysicaA, 2004,344 (1,2) :272-278. [4] PanasE, NinniV. Areoilmarketschaotic? Anon-lineardynamicanalysis [J]. EnergyEconomics ,2000,22:549-568. [5] AdrangiaB, ChatrathaA, KathyK, eta1. Chaosinoilprices? Evidencefromfuturesmarkets [J]. EnergyEconomics ,2001,23:405-425. [6] JoseAR, CisnerosM, CarlosIV, eta1. MuhifractalHurstanalysisofcrudeoilprices [J]. PhysicaA, 2002,313 (3,4) :651-670. [7] OsborneMFM. TheRandomCharacterofStockMarketPrices [M]. CootnerP, ed. CambridgeMA: MITPress, 1964. [8] FamaEF. Efficientcapitalmarkets: areviewoftheoryandempiricalwork [J]. JournalofFinance, 1970,25 (2) :383-417. 【9] SheffrinSM. RationalExpectations [M]. Cambridge: CambridgeUniversityPress, 1983.10] MandelbrotB. Thevariationofcertainspeculativeprices [J]. TheJournalofBusiness, 1963, (36) :394-419. 『111MandelbrotB. Thevariationofthepricesofcotton, wheat, andrailroadstocks, andofsomefinancialrates [J]. JournalofBusi-ness, 1967, (40) :393-413. [12] MandelbrotB. Whencanpricebearbitragedefficiently? Alimittothevalidityofrandomwalkandmartingalemodels [J]. Re-viewofEconomicStatistics, 197l, (53) :225-236. [13] Fan Zhi OF MANAGEMENT. The efficiency of financial markets and Fractal Market Theory [J]. Systems Engineering Theory and Practice, 2003, (3) :13-19. [14] Ying Fan, Yi-Ming Wei. Based on R / S analysis of the Chinese stock market, fractal analysis [J]. Systems Engineering,[link widoczny dla zalogowanych], 2004, (22) :46-51. [15] high-bing, Panjin, Min Chen. Hurst index of stock market fluctuations [J]. Donghua University (Natural Science), 2001, (27) :22-25. [16] Hanguo Wen, Han Haibo. Fractal Market Theory and Empirical Analysis of China's securities market [J]. China Economic Review, 2003, (3) :59-66. [17] Ye Hang, Lin Shui Shan. Based on fractal theory the validity of the stock market [J]. Central South University (Social Sciences), 2005, (11) :222-226. [18] Yujun Li. Chaos Control of Economic System and Development Study [J]. Wuhan University of Technology, 2005, (27) :102-104.