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Fractal Analysis of the Gold Market in China

Author

Listed:
  • 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.)

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.

Suggested Citation

  • Kedong YIN & Hengda ZHANG & Wenbo ZHANG & Qian WEI, 2013. "Fractal Analysis of the Gold Market in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-163, October.
    • Handle: RePEc:rjr:romjef:v::y:2013:i:3:p:144-163
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    References listed on IDEAS

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    Cited by:

    1. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. 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, Elsevier, vol. 474(C), pages 99-106.
    3. He, Kaijian & Chen, Yanhui & Tso, Geoffrey K.F., 2017. "Price forecasting in the precious metal market: A multivariate EMD denoising approach," Resources Policy, Elsevier, vol. 54(C), pages 9-24.
    4. Emrah BALKAN & Umut UYAR, 2022. "The Fractal Structure of CDS Spreads: Evidence from the OECD Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 106-121, April.
    5. Indranil Ghosh & Manas K. Sanyal & R. K. Jana, 2021. "Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 503-527, February.

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    More about this item

    Keywords

    gold market; fractal; R/S analysis; MF-DFA;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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