Dynamic characteristic analysis of Thai natural rubber price using fractal theory

Abstract

This research presents the analysis of the dynamic characteristics of Thai natural rubber price using fractal theory. The 2272 observations of daily Thai natural rubber price are collected form 21 April 2003 to 7 July 2014, which is from Thai Rubber Association. By using the Rescaled Range Analysis, the Hurst exponent is obtained as 0.6167, which implies that the Thai natural rubber price is a positive persistent process with long-term memory. According to Hurst exponent, the color noise and the correlation can be obtained as black noise and 0.1756, respectively. Furthermore, the memory of Thai natural rubber market is yield as 9 days. From the Hurst exponent, the Thai natural rubber price follows the FMH rather than the EMH.