Abstract
An empirical test on long memory between price and trading volume of China metals futures market was given with MF-DCCA method. The empirical results show that long memory feature with a certain period exists in price–volume correlation and a further proof was given by analyzing the source of multifractal feature. The empirical results suggest that it is of important practical significance to bring the fractal market theory and other nonlinear theory into the analysis and explanation of the behavior in metal futures market.
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