关键词: 螺纹钢线材市场, 分形特征, 多标度, 长记忆性, 预测

Abstract: Based on the time series analysis， multi-fractal method and fractal rescaled range analysis (the R/S method)， an investigation on the time series of returns on the rebar and wire rod markets in China was done empirically. It was found that the time series of the returns on both steels are characterized by being leptokurtic and heavy-tailed， which are not normally distributed and show a long-term memory between prices， thus indicating that the rebar and wire rod markets don’t reach the soft efficiency. The efficient market hypothesis is thus to be queried. The scale variations of time series show that a single-scale index is insufficient to describe the price fluctuations of commodities. However， the multi-fractal analysis as a powerful instrument can serve to describe more accurately how the prices of rebar and wire rod vary.

Key words: rebar and wire rod market, fractal characteristic, multi-scaling, long-term memory, forecast