中国有色金属学报(英文版)
Transactions of Nonferrous Metals Society of China
| Vol. 23 No. 10 October 2013 |
（1. School of Business, Central South University, Changsha 410083, China;
2. Institute of Metal Resources Strategy, Central South University, Changsha 410083, China;
3. School of Mathematics and Statistics, Central South University, Changsha 410083, China;）
Abstract:An empirical test on long memory between price and trading volume of China metals futures market was given with MF-DCCA method. The empirical results show that long memory feature with a certain period exists in price-volume correlation and a further proof was given by analyzing the source of multifractal feature. The empirical results suggest that it is of important practical significance to bring the fractal market theory and other nonlinear theory into the analysis and explanation of the behavior in metal futures market.
Key words: metal futures; price-volume correlation; long memory; MF-DCCA method; multifractal; fractal features; multifractal spectrum
