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ABSTRACT
This study employs the MF-ADCCA-AFD method to investigate the multiple fractal characteristics of the interrelationship between the gold spot and futures, and to explore the time-frequency distribution of gold prices. The price decline is found to have a more persistent impact on the relationship between gold futures and spot prices, and its cross-correlations are asymmetric. Compared to gold spot prices, gold futures prices have more volatile phases, and their ranges are larger. By performing time-frequency analysis, investors can predict when a price is about to fluctuate, thereby providing them with valuable investment advice.
Disclosure statement
No potential conflict of interest was reported by the author(s).
Additional information
Funding
This work was supported by the National Natural Science Foundation of China [62073007].
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