Study On The Correlativity And Volatility Of Chinese Copper Futures Market

Copper is a very important metal in national economic construction, which is widely used in military industry, electronic and electrical, communications, construction, light industry, machinery manufacturing, transportation and other fields. Although copper consumption of our country is the number one in the world, copper prices in international copper market cannot be determined by the Chinese copper organization or enterprises. Copper resources are likely to in a similar way to iron resources, and have a direct threat to the healthy and stable development of the national economy. Therefore, it is necessary to study the performance of copper resources in the form of pricing, which is copper price of securities. In recent years, although domestic and foreign scholars have done a lot of theoretical and cases research in copper prices relevance, different securities exchange, the factors of Chinese copper futures and securities price of copper, the most research is limited to qualitative analysis. Based on the in-depth study of Copula theory and stochastic processes, this article is focus on qualitative and quantitative research of correlation, volatility and jumping of copper futures market. The main content of this paper are as follows:1 In order to overcome the limitations of traditional methods, such as linear correlation coefficient and Granger causality analysis, the flexible and robust Copula theory is applied for the analysis of financial time series, a reliable correlation structure between variables. Copula function is defined in details, and the Copula parameter estimation methods, the corresponding post-test and the conditions of the theory of Copula function are investigated systematically.2 London copper and Shanghai copper block market, as the two major international copper markets, becomes very important. Considering that, the existing literature is still confined to the long-term correlation and co-integration analysis, and Constant Correlation Copula function modeling methods; here a time-varying Copula model associated with the related copper market is proposed and discussed. The results show that the model can reflect the actual process of national macro-economic policy adjustment; the world financial crisis broke out in the time-varying model, and the dynamic nature of both the market itself.3 The stock market is a typical complex system. The main branches of mathematics and mathematical statistics for studying the random process become a powerful tool for complex systems. Copper process is a random process, where the OU process model and the jump diffusion model were investigated, and the parameters of the two models were estimated. Some statistical characteristics of copper process were also introduced, and then the parameters in the OU process model were estimated by using GMM estimator. The jump diffusion model in the process of article distribution and Poisson parameters were estimated finally.4 Based on the price analyzed above, the copper-based metrics and random market risk control were investigated from company surplus. First, the tectonic model of fixed investment ratio was constructed and solved, and then their survival probability functions were analyzed. Finally, the optimal investment strategy model was obtained.