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

fYear

2008

fDate

16-18 July 2008

Firstpage

735

Lastpage

737

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/CHICC.2008.4604893

Filename

4604893