Analysis And Modeling Of Data Characteristics Of Futures Market

Futures trading is more and more important to economic and finance activ-ities in every country, and analysis of the law of futures price data is already an important research topic in economic and finance. This paper analyzes Chinese fu-tures market every 15 minutes closing price of Stock Index futures, Rebar futures and Rubber futures. We can find the log-returns distributions of three kinds of futures are all skewed, and have a higher peak and two heavier tails than those of the normal distribution through analyzing the statistical properties of log-returns data. Using the detrended fluctuation analysis method, we can find the log-price data of three kinds of futures are all positive correlation. Then we model futures log-returns with a-stable distribution. At last, because of the periods of constant values which are observed on the tracks of futures log-price, we model futures log-price with a subdiffusive process B(Sα(t)), and examine if the subdiffusive process fits futures log-price by using a method for computer simulation of sample paths of the subdiffusive process.