改进的MF-DFA模型及其在贵金属市场的应用
Improving MF-DFA model with applications in precious metals market
摘要：
随着全球经济危机和通货膨胀的加剧，具有避险功能的贵金属更受欢迎。提出了一种改进的MF-DFA方法来分析贵金属市场的价格波动。在广泛应用的多重分形去趋势波动分析方法（MF-DFA）的基础上，对这两种方法进行了比较，发现Bi-OSW-MF-DFA方法具有更好的效率。本文分析了黄金现货市场和白银现货市场的多重分形程度及其风险。从数值结果和图表中可以看出，两个因素构成了时间序列多重分形形成的贡献，现货白银市场的风险高于现货黄金市场。这种尝试可能会导致更好地了解复杂的贵金属市场。
英文摘要：
With the aggravation of the global economic crisis and inflation, the precious metals with safe-haven function have become more popular. An improved MF-DFA method is proposed to analyze price fluctuations of the precious metals market. Based on the widely used multifractal detrended fluctuation analysis method (MF-DFA), we compare these two methods and find that the Bi-OSW-MF-DFA method possesses better efficiency. This article analyzes the degree of multifractality between spot gold market and spot silver market as well as their risks. From the numerical results and figures, it is found that two elements constitute the contributions in the formation of multifractality in time series and the risk of the spot silver market is higher than that of the spot gold market. This attempt could lead to a better understanding of complicated precious metals market.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
