Multi-fractal Characteristics of the Rebar and Wire Rod Markets: an SHFE-based Empirical Study

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 showa 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 showthat 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 howthe prices of rebar and wire rod vary.