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Research on Fractal and Chaos Theory of Bean Futures Market in China

Author: WangZuoYu
Tutor: WangJing
School: Northwest University of Science and Technology
Course: Finance
Keywords: Rescaled Range Analysis Hurst Index Fractal Dimension Phase SpaceReconstruction Lyapunov Index
CLC: F724.5
Type: Master's thesis
Year: 2013
Downloads: 6
Quote: 0
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Abstract


The development of Chinese commodity futures market is only20years, which is relatively short, and it is still at the start stage in all aspects. Even though, the futures market has already played an important in hedging and maintaining the stability of the market. Therefore, it is extremely important for the financial researchers to understand the role of futures market in a correct way.Traditionally, the theoretical basis of capital market is the Effective Market Theory (EMT), which is based on the assumptions of linear basis. In another word, the capital market returns are normally distributed. However, the frequent occurrence of financial crisis makes scholars doubt the correction capital market hypothesis. Especially in recent years, the scholars have used nonlinear mathematics to analyze the financial market, which proves the Effective Market Theory wrong. That is why people no longer adhere to EMT.This paper is based on the two most popular nonlinear methods in recent years------fractal theory and chaos theory. In this paper, we use the two theories to analyze the characteristics of price and volume fluctuation of Chinese soybean futures market research and Analysis on China’s soybean futures market.First of all, use the Rescaled Range Analysis (R/S) to analyze the Chinese soybean futures market as a whole and single soybean futures returns. The results showed that:the Hurst index of soybean futures returns and volume of the whole sequence are both significantly greater than0.5, which shows the fractal characteristics. Study on single bean futures suggests that, although not all varieties showed obvious fractal characteristics, the fractal characteristic of most futures varieties are obvious. Then, use the method of fractal scrambles the data results are verified, upset after data Hurst index less than disrupted the Hurst index, shows that the original sequence of short-term memory, proved the existence of non-periodic cycle.Secondly, this paper uses phase space projection method for soybean futures prices and turnover sequence of sequence. The auto-correlation function method are used to calculate the price series and volume sequence delay time and the embedding dimension m, followed by a small amount of data algorithm of chaotic characteristics of soybean futures price volatility and volume volatility calculated. The results show that:the maximum Lyapunov index price series of Chinese soybean futures market is positive, and the correlation dimension is not integer, which shows that the Chinese soybean futures market has the typical chaotic characteristics, while the volume fluctuations have the weakly chaotic characteristics.By comparison, this paper calculates the chaotic characteristics of log return series, and its phase space projection showed a certain randomness, indicating that the chaotic characteristics of return series is not obvious. Therefore, the closing price as the parameters of the price series is appropriate.To sum up, prices of China’s soybean futures market has obvious fractal characteristics and chaotic characteristics; the turnover sequence showed a clear fractal and weak chaotic characteristics. This shows that, using the traditional on the basis of the linear model of efficient market theory cannot explain the price and volume of Chinese soybean futures market.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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