Research On Fractal Construction Of Wheat Futures Market In China

With the fast development of capital market, futures market of agricultural products plays an more and more important role for companies which products are made from agricultural products to hedge against and stable cost and price. Therefore, it is necessary to get correct comprehension to future contracts of agricultural products. The classical theories are based on the hypothesis of efficient market, normal distribution and liner way. However, many scholars suspected that whether liner theories are suitable to explain and research financial market. The fluctuation process and the way of information working, in financial market are both nonlinear. They decide the nature of capital market.This article works at using the optimal method to research the fractal construction of wheat futures market in China. In theory, this work helps to get a deeper understanding of the complexity of financial system. And it also helps to enrich the understanding of agricultural futures market behavior in China. In empirical, it provides a theoretical foundation to the subsequent analysis on futures market which is based on non-linear theories. In practice, it can better guide agricultural enterprise to hedge against and keep stable cost by agricultural futures contracts.Firstly, this paper scientifically verifies that the linear theory and normal distribution do not accurately describe the complex futures market. The author use the modified rescaled range method to analyze the fractal construction of this market based on the advantages and disadvantages of five kinds of conventional fractal analysis ways. Besides, the author modifies this method. The author creatively chooses volume and price as the research object and gives up yields sequence, because of the shortage of taking the yields sequence as a research object. It helps to improve the blocking method and increase the number of samples group and the accuracy of Hurst index estimation. At the same time, this ensures the sample contains enough information. In order to reduce the influence of short-term trend, the author uses the methods putting out by Chen and Peters to eliminate wheat futures price and volume of short-term trend. Finally, the article discusses the reasons of wheat futures market fractal structure form three different angles.Through the study, we can get some basic conclusion as follow:(1)This paper analyses the yields distribution features of wheat futures market and single wheat futures contract including: the normal analysis, autocorrelation analysis, and non- linear structure analysis. The result shows that the futures market yields don't obey the normal distribution, and the day yields exists autocorrelation. In addition, there is a nonlinear structure on the yield sequence. Single wheat futures contracts'yields also do not obey normal distribution. Most wheat futures contracts yield sequences are not auto correlate. However, most of them have internal nonlinear structure.(2)The improved rescaled range analysis shows that the wheat futures market is a complex fractal system. And it is very sensitive to initial conditions. The volume time series is an anti-durative fractal series, whereas the price series is a durative one. But for the single wheat futures contract, it does not always has a fractal structure.(3)There is a connection between the fractal characters of the two series. For one hand, fractal characteristics of a wheat futures'price sequence is opposite to that of its volume sequence and. On the other hand, the first cycle of a persistent fractal sequence is almost identical to the time of its anti-durative fractal sequence V statistics dropping to the bottom. If a futures'volume series is not a fractal one, so is its price series sequence.(4)There are various reasons for the complex structure of the wheat futures market. The piles of information and the mode of its action is the external reason of the complicate fractal construction of wheat futures market. And the additive effect of different investment starting points and fractal dimensions of different wheat futures contracts are its internal reasons.