کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7380299 1480161 2014 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate
ترجمه فارسی عنوان
تجزیه و تحلیل هرج و مرج و تجزیه و تحلیل فراکتال در ساختار اصطلاح شانگهای بین بانکی پیشنهاد نرخ
کلمات کلیدی
شیبور، آشوب، فراکتالیستی، حافظه بلند مدت، همبستگی متقابل،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
In this paper, we investigate the Shanghai Interbank Offered Rate (SHIBOR) employing the chaos recognition and fractal analysis. We find that all interest rates of SHIBOR are chaotic systems with multifractal nature. The volatilities of the short-term interest rates are larger than the medium- and long-term interest rates and the magnitudes of these fluctuations decrease with the term increases. The smaller fluctuations of all interest rates have long-term memory property. The larger fluctuations of medium- or long-term interest rates have also long-term memory property but not for those of short-term rates. Moreover, there is long-term memory property between the two interest rates of SHIBOR with one medium- or long-term, but not for both short-term interest rates. Especially, there is also long-term memory between SHIBOR and USD LIBOR. These findings are beneficial not only to understand well the SHIBOR's running but also to price accurately financial products.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 412, 15 October 2014, Pages 101-112
نویسندگان
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