Title :
Scaling and multiscaling properties in China’s corn futures price system
Author :
Lingyun, He ; Liming, Chen ; Shudong, Zhou
Author_Institution :
Coll. of Econ. & Manage., China Agric. Univ., Beijing
Abstract :
In this paper, based on the time series of Chinapsilas corn futures prices, by introducing R/S analysis and multi-affine function to explore empirically the price dynamics and behaviors in corn futures prices, we investigate the scaling and multiscaling properties in the price system and analyze the price behaviors especially the system memory mechanism of historical information, thus we analyze numerically the long-term memory mechanism in the system; furthermore, we find nontrivial fractal features and multi-affine spectra in the price system. All numerical results support that there exist scaling/multiscaling properties and long-term memory in the price system.
Keywords :
agricultural products; commodity trading; econometrics; fractals; macroeconomics; pricing; time series; China; R/S analysis; corn futures price system; long-term system memory mechanism; multiaffine spectra function; multiscaling property; nontrivial fractal feature; scaling property; time series; Chaos; Control systems; Educational institutions; Fractals; Helium; Information analysis; Mechanical factors; Memory management; Tail; Time series analysis; Corn futures prices; Long-term memory; Scaling/Multiscaling analysis;
Conference_Titel :
Control Conference, 2008. CCC 2008. 27th Chinese
Conference_Location :
Kunming
Print_ISBN :
978-7-900719-70-6
Electronic_ISBN :
978-7-900719-70-6
DOI :
10.1109/CHICC.2008.4604893
