A Study on the Price Behavior of Chinese Copper Future

Author

Zheng, Feng ; Cheng, Xia

Author_Institution

Sch. of Econ. & Manage., North China Univ. of Technol., Beijing, China

Volume

3

fYear

2009

fDate

26-27 Dec. 2009

Firstpage

54

Lastpage

57

Abstract

This paper studies the price behavior of Chinese copper future by Zipf-type analysis model. We transformed the closing copper future price data to series only contained up-down information by certain thresholds. We have observed phase transitions phenomena in copper future market, and identified three critical points, at which the heterogeneous agents transit their trading behaviors. We found the first phase is affected by noise traders, the second and third phase is controlled by fundamentalists, the forth phase is controlled by noise traders.

Keywords

copper; pricing; Chinese copper future; Zipf-type analysis model; heterogeneous agents; noise traders; price behavior; Conference management; Context modeling; Copper; Frequency; Industrial engineering; Information management; Innovation management; Performance analysis; Phase noise; Technology management; Zipf-type analysis; copper future price; price behaviour;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Management, Innovation Management and Industrial Engineering, 2009 International Conference on

Conference_Location

Xi´an

Print_ISBN

978-0-7695-3876-1

Type

conf

DOI

10.1109/ICIII.2009.323

Filename

5369753