Analysis of long-term memory characteristic of international petroleum futures market;

Research on the Long Memory in Chinese Stock Market Returns;

Research on common long memory between trading volume and volatility in Chinese stock market;

Previous studies indicate that the volatility process of financial market has a distinctive long memory.

The long-term memory of HongKong Hang Sheng index using MRS analysis was studied,established ARFIMA model for it,and detailed the procedure of fractional differencing.

In this paper,we utilize rescaled range analysis and modified rescaled range analysis to test the return series of Shanghai stock exchange for Long-term memory.

EMH by the failure to include long-term memory is one of the important characteristics of FMH.

Empirical analysis of long-term memory of stock market of China;

For the first time,the rescaled variance test is applied to investigate the long-term memory effect in China s stock returns.

It is concluded that the market is characterized by long-term memory effect and is a fractal market,but its market efficacy is worth further research.

24, 2004 in Shenzhen A and B shares, the modified R/S analysis and GPH test are applied to detect the existence of long-term memory in daily and weekly market returns.