Empirical Research On The Impact Of Noise Trade To Domestic Commodity Futures Market

The objective existence of noise trade is an important non-negligible component of the futures market.Research shows noise trade between participants is quite common in the Chinese futures market,which is reflected in the manipulation of futures by the institutional investors,the blind "buying the winners" by the medium and small investors and so on.Moderate noise trade will increase mobility of the market,however,excessive noise trade will cause lower efficiency of the futures market.Therefore,research on noise trade is an important topic for reasearch of the futures market.The paper made innovative points mainly at: First,based on DSSW noise trade model,the paper relaxed related restricted conditions of the model,and generalized the model in the research of domestic commodities futures market;second,based on the further extended DSSW model,the paper examined fluctuation characteristic of domestic commodities futures with the use of statistical tools,and tested the correlation between extended DSSW model and the return rate and noise with the application of EVIEWS 6.0 statistical analysis software;third,the paper constructed quantitative trading strategies with noise factor in the extended DSSW model and tested the profitability of the strategies in real trade in the domestic commodity futures market,which provided a useful tool for quantitative timing and distribution of futures assets.After making the above analysis,the paper found that phenomenon of yield gathering and T-shape distribution diagram also exist in the commodities futures market because of behavior biases and noise trade.Meanwhile,there are general co-integration relationship and Glanger causality between the price of different futures under the impact of common factors between different commodities and sheep-flock effect.By Housmann test and Fixed Effect Model test,the regression effect of the correlation between noise and yielding rate of some commodities is relatively effective.At last,appropriate noise filtering approaches will help improve investment performance of investors in the futures market.The inadequacies of this paper are: the paper did not make noise research into minor cycle of commodity futures,which will have higher practical value because of frequent price fluctuation of commodities futures under the condition of minor cycle;besides,because of time restrain,the author did not go deeper into the application of noise trade in arbitrage,which will be further researched in the future.