Fractal Analysis of the Gold Market in China

Kedong Yin (), Hengda Zhang, Wenbo Zhang and Qian Wei
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Kedong Yin: School of Economics, Ocean University of China, Qingdao, China.
Hengda Zhang: School of Economics, Ocean University of China, Qingdao, China.
Wenbo Zhang: School of Economics, Ocean University of China, Qingdao, China.
Qian Wei: School of Economics, Ocean University of China, Qingdao, China.

Journal for Economic Forecasting, 2013, issue 3, 144-163

Abstract: Based on fractal theory, this paper studies the fluctuation characteristics of the gold market in China. Using R/S analysis and fractal dimension analysis this paper demonstrates that the gold market possesses fractal characteristics and determines the length of the aperiodic circulation on the basis of the nonstationarity of the daily yield series of gold validation. With the MF-DFA method, the paper confirms the multifractal nature of the gold market and analyzes the factors that influence the multifractal nature. Based on the research, forecasts of the fractal interpolation curve can be brought into agreement with the original sequence by constructing a fractal interpolation model. Therefore, the paper provides intuitive evidence regarding the price movement predictions of gold market for investors and managers.

Keywords: gold market; fractal; R/S analysis; MF-DFA (search for similar items in EconPapers)
JEL-codes: C53 G17 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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