Investment Research On Sovbean Of China’s Futures Market Based On Price Fluctuation

Since soybean futures come on the market, their transactions have become increasingly active. The total volume of the three main contracts in2012summed up to six million hands. But a lot of futures investors in our country are lack of the ability to analyze the market, which play an important role in price system of soybean futures market. Many futures investors exited with big losses.Firstly, the article did a detailed fundamental analysis, analyzed the present situation of the soybean supply and demand and found that soybean supply and demand was very huge, and deeply dependent on oversea markets. Then the article judged how the market would fare based on the fundamental analysis. Secondly. I examined the effect of the technical analysis with writing programs in matlab. We drew a conclusion that the technical analysis has little effect in forcasting soybean futures prices after examing three kinds of indicators.Before bulding the model to predict the soybean futures prices, we selected variables with the Granger causality test. The tests showed that some variables can improve the forcasted effects, including the previous change values of soybean futures prices in CME, soybean spot prices, error correction of terms of the two equilibrium relationship equations, dollar indexes, crude oil futures prices. Finally, we built ARMA model, GARCH model, Logistic model and examined the forcasted effects of the three models. It turned out that the three models predicted the changes of the soybean futures prices well.