Research On The Price Forecasting Of China's Corn Futures Market

Futures trading is the basis of a single spot forward contract transaction is no longer adapted to the modern commodity economy.Since 2011,the global economic is in the descending phase,the economic development is in a turbulent environment,as an important financial instrument of price discovery and risk aversion,Futures is self-evident importance to economic development.The introduction of the central first document once again placed the agricultural futures in a significant position in 2016,but also for thirteenth consecutive years focused on"three dimensional rural".As an agricultural country,agricultural development is related with the National People's livelihood,study and adjustment of agricultural economic development is the priority among priorities of the development of the market economy in China.As an important food crop,feed raw materials and deep processing raw materials in the economic development,corn has largest production capacity,most consumption,the longest time to market in China,and also has the more active agricultural futures varieties of the world.Series of strengthen the implementation of the policy of agricultural production and the development of animal husbandry,continued growth in demand for corn,so this article selects phase corn varieties of spot research has certain rationality.The scholars of the futures market research activities,from the research results of view,mainly concentrated on the effectiveness of futures market,the futures market price discovery function research,the futures market hedging research,futures market risk premium of futures market price forecasting research and so on.The results of these studies are more in-depth,and generally have a strong pertinence and operability.If there are omissions or imperfection,that is to study on the association of overall function in the futures market still need to improve.This paper will combine the efficient of the futures market,the futures market price discovery function and price prediction of futures market together to study,in order to contribute to the understanding of the futures market development,to predict the risk of the development of the futures and adjust the allocation of resources,reduce the price risk that due to adverse price changes.The price prediction of stock market is actually a property price function of futures market,that is based on a large number of past and current price that can be obtained,after data processing and transformation,using the corresponding prediction model to forecast the future of the futures price reasonably.Because of the important role in the prediction of futures market futures price,so this paper based on the correlation analysis of the effectiveness of the futures market,futures market price discovery and price of the futures market forecast,focus on the futures market price prediction analysis,and improve the thesis.The research process of this paper:the first step,based on the relevant information of the spot market,describes the development status,the related theory of the corn futures market and the theory of futures market.The second step,the selection on January 6,2011-2016 on June 30,corn futures in dalian Commodity Exchange historical trading data of the main contract week closing price and the national grain and oil price monitoring system in the national corn spot weeks average price of corn,after the corresponding data processing,the use of the stationary test,Johansen cointegration test,Granger causality test and other functions for empirical research on corn futures the effectiveness of market and corn futures market price discovery.The analysis results show that the corn futures market is weak form efficient,and the futures price of corn is dominant in the price discovery function.The third step,in order to corn price forecast was carried out on the future value of spot price of sequence,the state space model inspection,inspection result and required to pass through the differential treatment to make the time series data into a smooth ARIMAmodel,comparing the test results proved that originated in the state space model prediction results in the field of engineering control than is widely used in time series prediction of ARIMA model in the field of prediction results more accurate.At the end of the article,summarize the whole thesis,first emphasized that the state space mode is more precise than ARIMA that is more in-depth application in forecasting results,and the relative error of the state space model prediction results is in about 2%,illustrating that the deviation of the the prediction value of state space model and the true value is in a reasonable range,but the relative deviation is still great,the reason is that the stock market development is not perfect.In view of the above problems,we put forward the policy recommendations to development and improvement of China's futures market such as,develop the spot market,improve the futures market regulatory approach,strengthen supervision of information disclosure,reduce government intervention,relax market access mechanism.