关键词: 铜价格, 上海期货市场, 有效市场假说, 分形, 参数估计, 函数盒维数

Abstract: Parameters' estimation of fractal distribution, functional box dimension and multifractal analysis are used to study empirically the fractal characteristics of the time series of copper price on Shanghai futures market, it is found that the time series are not normally distributed and show long-term memory. The efficient market hypothesis is thus to be queried. The clustering structure and scale variation of the time series as revealed by the functional box dimension and multifractal analysis show that a single fractal model is not sufficient to describe the futures price in time series. However, the multifractal analysis as a powerful instrument can describe more exactly how the price of copper futures varies.