The fractal feature and price trend in the gold future market at the Shanghai Futures Exchange (SFE)

doi:10.1016/j.physa.2016.12.048

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	The fractal feature and price trend in the gold future market at the Shanghai Futures Exchange (SFE)
	Wu, Binghui; Duan, Tingting
	2017-05-15
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷号	474 页码:99-106
摘要	The price of gold future is affected by many factors, which include the fluctuation of gold price and the change of trading environment. Fractal analysis can help investors gain better understandings of the price fluctuation and make reasonable investment decisions in the gold future market. After analyzing gold future price from January 2th, 2014 to April 12th, 2016 at the Shanghai Futures Exchange (SFE) in China, the conclusion is drawn that the gold future market has sustainability in each trading day, with all Hurst indexes greater than 0.5. The changing features of Hurst index indicate the sustainability of gold future market is strengthened first and weakened then. As a complicatedly nonlinear system, the gold future market can be well reflected by Elman neural network, which is capable of memorizing previous prices and particularly suited for forecasting time series in comparison with other types of neural networks. After analyzing the price trend in the gold future market, the results show that the relative error between the actual value of gold future and the predictive value of Elman neural network is smaller. This model that has a better performance in data fitting and predication, can help investors analyze and foresee the price tendency in the gold future market. (C) 2017 Elsevier B.V. All rights reserved.
关键词	Gold future Fractal analysis Hurst index Neural network SFE
DOI	10.1016/j.physa.2016.12.048
收录类别	SCI ; EI ; SCOPUS ; SCIE
ISSN	0378-4371
语种	英语
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000397371400010
出版者	ELSEVIER SCIENCE BV
EI入藏号	20170403287469
原始文献类型	Article
EISSN	1873-2119
引用统计	被引频次：15[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/11948
专题	金融学院财务处（项目管理办公室）
作者单位	1.South China Normal Univ, Sch Econ & Management, Guangzhou 510006, Peoples R China; 2.Lanzhou Univ Finance & Econ, Dept Finance, Lanzhou 730020, Peoples R China
推荐引用方式 GB/T 7714	Wu, Binghui,Duan, Tingting. The fractal feature and price trend in the gold future market at the Shanghai Futures Exchange (SFE)[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2017,474:99-106.
APA	Wu, Binghui,&Duan, Tingting.(2017).The fractal feature and price trend in the gold future market at the Shanghai Futures Exchange (SFE).PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,474,99-106.
MLA	Wu, Binghui,et al."The fractal feature and price trend in the gold future market at the Shanghai Futures Exchange (SFE)".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 474(2017):99-106.

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