LME镍、铜期货价格变动的时间序列分析

本文基于2003～2008年伦敦金属交易所（LME）3月镍、铜期货价格的日线数据，运用经典的时间序列R／S分析方法来研究镍、铜期货市场价格的非线性特征。分析结果显示：LME镍、铜期货市场价格波动是典型的有偏随机游动，H值均大于0．5，期货价格时间序列具有持久性趋势；LME镍、铜期货存在大约分别为447天和442天的非周期循环长度。

Analysis of Time Series of Nickel and Copper Futures Prices of LME

This paper uses classical R/S analysis of time series to study the non-linear features of nickel and copper futures prices on the basis of the daily closing price of LME from 2003-2008.Resuhs show that H value is greater than 0.5, the observed value between the futures prices is time series which is not independent. Futures prices time series exhibit permanent trends. In addition, it is also found that nickel and copper futures of LME exist one periodic length of circulation, and the ength is 447 days and 442 days.