Price Time Series Long Memory Analysis and Prediction Study
نویسنده
چکیده
The R/S test has been extensively used in testing the long memory of financial time series, but little attentions have been paid on its validity. The paper sets the chemical raw materials styrene price time series as an example, to test the stable of the price series. It indicates that we should give prudent explanation for the R/S test, and then establish the ARFIMA model to determine the data generation process with fractal characteristics. Thus the fractal theory can be used to describe the price time series and provide theoretical support for the price time series forecasting.
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