The fractal market theory mainly studys long memory and the Hurst index of financial time series.

分形市场理论主要研究金融时间序列的长记忆性和Hurst指数。

What’s more,we find overwhelming evidence of long memory effect for the volatility of futures returns. This finding suggests the new methods of modeling volatility in futures’ markets.

更重要的是,实证结果表明期货收益波动率有明显的长期记忆性,因此,在对期货市场波动率建模时应充分考虑这一点。

Using sample autocorrelation function, classical R/S analysis and modified R/S method, we detect long memory of return series and volatility series of Shanghai and Shenzhen.

本文采用样本自相关函数法、传统的R／S分析法和修正的R／S分析法来检验我国沪深两股市收益和波动的长记忆特征。