| 摘要: |
| 以芝加哥期货交易所的玉米、小麦、大豆和黄豆油4种农产品期货价格的收益率序列为研究对象，运用交互相关统计量、MF-DCCA和连通性频率分析等方法，实证研究美国农产品期货市场价格波动的交互相关关系以及市场风险大小。结果表明：美国农产品期货市场的价格收益序列具有交互相关性，且这种交互相关性存在不同多重分形特征，造成多重分形性的原因是长程相关性和胖尾分布;不同期货品种的投资组合隐含的风险不同，其中玉米/大豆的风险最大，而小麦/黄豆油的风险最小;农产品期货市场连通性较弱，大豆对系统的贡献程度最大，玉米其次。 |
| 关键词: 农产品期货 收益率序列 交互相关关系 分形统计分析 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Fractal Statistical Analysis of Agricultural Product Futures Market: Evidence Based on Chicago Futures Exchange |
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MA Jie
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School of Applied Mathematics, Nanjing University of Finance and Economics,Nanjing 210023, China
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| Abstract: |
| Agricultural product futures market is an important component of financial market and plays an important role in the world economy. Taking the yield series of four agricultural products futures prices of corn, wheat, soybean and soybean oil of Chicago Futures Exchange as the research object, using the methods of cross-correlation statistics, multifractal analysis and connectivity frequency analysis, this paper empirically studies the cross-correlation of price fluctuation in agricultural futures market in the United States and the size of market risk. The results show that there is an interactive correlation between the price-return series of American agricultural products futures market, and the correlation has different multifractal characteristics, which result from the long-range correlation between small fluctuations and large fluctuations and the fat tail distribution of the series. The investment portfolio of different futures varieties contains different risks, among which the risk of corn/soybean is the biggest but the risk of wheat/soybean oil is the smallest. Agricultural futures market has weak connectivity. Soybean contributed the most to the system, followed by corn. |
| Key words: agricultural futures return series interactive correlation fractal statistical analysis |
