Futures Time Series Characteristics Of Complex Networkand Portfolio Strategy Research

Complex network research is the hot spot in the scientific community, it as all kinds of network system in the real world, the general method of attributes and relations, has penetrated into many different fields of study, is known as the "new science" network, it is the study of financial market system structure, the relationship between characteristics of an effective tool, is the important research direction in the field of quantitative investment, programming trading.This article uses the method of complex network to construct multidimensional futures network model of time series analysis of the relationship between futures market structure characteristic, build futures portfolio;And sample data of internal and external effect of trial and testing, under reasonable risk measure a positive expectation of investment returns.The research purpose and meaning to analyze the returns and volatility of futures varieties, active degree and the importance of understanding the futures composition of complex network system, the relationship between mining varieties, studying how the community classification of futures varieties, the explain tables, using economics principle, and from the Angle of the futures investment worked by the method of complex network, build a package of portfolio, auxiliary investment decisions, etc.This article main research content is:(1) from the futures price fluctuation time series of price gains and two core index, by degrees, weekly, and monthly represent three time window, the short, medium and long for July 2014 to July 2015, between 83 kinds of main international and domestic futures market futures product modeling, using GEPHI network professional software to carry on the processing, such as building form six futures complex network model;(2) through seven network overall indicators: the average, weighted average, network diameter, density, average concentration coefficient, average path length, module to describe the general characteristics of futures network;To and complementary to the traditional qualitative analysis at the same time, the use of quantitative methods, five individual index is obtained by using the econometric model: the degree, the weighted degree, close to the centricity, intermediary centricity, cluster coefficient, estimates and define species of important attributes, through community structure analysis to depict the relationship between the futures classification;(3) through the weak correlation between diversification and high volatility in the ascending profit space, innovative extracted the weighted degree P "investment" and "independent and important" as the core of a series of portfolio construction logic, use Trade Blazer programmed softwareprogramming, test and verify the investment performance.Innovation point of this article is:(1) the relationship between characteristics of deconstruction futures multidimensional network: using complex network theory to build the multi-dimensional under multiple time periods, the futures price gains and wave network model.(2) futures network characteristics and economic sense: the analysis of mining excavation futures and futures varieties network structure characteristics, the general and individual and relationship of better grasp the significance of analysis of the underlying economics the futures market.(3) based on network inference, build a portfolio and the investment performance of test: mining analysis based on the network construction of portfolio and the investment strategy is put forward and verified the trial, both inside and outside the samples have been is expected return, is to invest in quantitative method to try new things.The conclusion of this article from six decomposition in this paper, the space-time dimension-(1) general characteristics of futures network;(2) individual varieties and importance;(3) cycle time dimension;(4) futures community structure category division(5) the international and domestic market;(6) portfolio construction logic.In multi-level and multiple perspectives analysis are derived, summary the full text conclusion after refining: through the futures of complex network modeling method, can be quantified indexes and map, analyzes its economics and investment properties, thus deconstructing the futures market and category characteristics, effective support for the establishment of the investment portfolio, building package investment targets, and in the actual transaction data(sample within + sample double back-test) of correctness verification, a positive income under a certain amount of risk measure return on investment.Based on research results, this paper puts forward the policy recommendations: attach importance to and support the development of futures markets, crude oil futures, strengthen the education of investors, and for all the way "area" under the guidance of the futures industry development opportunity and Internet + has made the prospects of futures investment.