Research On Nonlinear Characteristics And Hedging Strategy Of Steel Futures Market In China Based On Multifractal Theory

In recent years, with the international financial integration increasing gradually, the influence between countries becomes more and more intense in financial markets. The financial market is an important means of resources allocation. In the developed countries, the combination of industrial and financial capital is very general. It is a great and irreplaceable role for improvement of industrial competitiveness. Research on the financial market has become the premise of financial service for the industry capital. Recently, with the development of complexity science, research on the financial market based on the fractal theory also made a lot of achievements. In this thesis, based on the existing achievements, research the complexity of the commodity futures market and the forecasting of Steel Futures Price in China, and empirically research on steel futures hedging strategy of B company. The main research work of this paper is as follows:(1) Empirical Study on Price Discovery Function of Commodity Futures MarketIn this study, through the application of correlation analysis, Granger test, EG two-step test, Johansen co-integration test, and impulse response functions and variance decomposition method, the futures price discovery function on gold, silver, oil, aluminum, and copper were investigated. The results showed that the futures led spots price in the short term, but in long run, there was no co-integration relationship between the futures price and spots price on gold. Generally, in the short term, the futures led spots price, and in long run, there was co-integration relationship between the futures price and spots price on silver, oil, aluminum, and copper. Finally, based on the different characteristics of each commodity, the strategies of effective use of the futures market in China were suggested and proposed.(2) Research on the Fractal Characteristics of Rebar and Wire Rod Markets in ChinaUsing fractal rescaled range analysis method (the R/S method), detrended fluctuation analysis (the DFA method) and multifractal detrended fluctuation analysis (MF-DFA), an empirical research on the time series of returns on the rebar and wire rod prices in China was presented. It was found that the time series of returns on the rebar and wire rod prices in China are characterized with leptokurtic and heavy tailed. The time series are not normally distributed and show significant positive correlations and long-term memories, thus indicating that the time series of the rebar and wire rod markets have obvious multifractal properties. The scale variations of the time series show that a single-scale index is insufficient to describe the commodity price fluctuation. These results have led to a better understanding of complex Chinese steel spot markets.(3) Forecasting Research of Steel Futures Price in China based on Multifractal Theory The symbol sequence of difference of daily closing quotation indexes has the forecasting capacity. A neural network model based on the multifractal spect rum is advanced and is applied to the steel futures price forecasting. The tes t results indicated that the model can simulate steel market trends in a short time. It is useful to prevent and control risks, furthermore, to deeply and a ccurately grasp the basic operation rules of steel future market.(4) Empirical Research on Steel Futures Hedging Strategy of B Compa nyAnalysis the actual business model of B company, and design the hedging strategy with the derivatives. Then control and manage the risk of the hedging strategy, and design the operating procedures and internal control system.