摘要
采用BDS检验、关联维检验并对李雅普诺夫指数及赫斯特指数的计算,对中国10种主要农产品期货日度价格数据的非线性与复杂性特征进行实证分析。结果显示:BDS检验说明,中国农产品期货价格具有“尖峰厚尾”的非线性特征;关联维检验和李雅普诺夫指数估计结果说明,中国农产品期货价格序列具有内在随机性和初值敏感性的混沌特征,是一个具有分形特征的混沌系统;赫斯特指数估计结果说明,菜籽粕、豆粕、鸡蛋等3种期货价格具有反持久性和均值回复的特点,棉花、白砂糖、菜籽油等7种农产品期货价格具有持久性和长记忆性。这些研究结论为农产品期货市场投资者的投资决策、监管机构的风险管理及危机干预提供了理论依据。
By using BDS test,correlation dimension test and calculation of Lyapunov index and Hurst index,this paper makes an empirical analysis of the nonlinearity and complexity of daily price data of 10 major agricultural products futures in China.The results show that the BDS test shows that the futures price of China’s agricultural products has the non-linear characteristics of“Leptokurtic and fat tail”;The results of correlation dimension test and estimation of Lyapunov indexshow that China’s agricultural productfutures price series is a chaotic system with fractal characteristics,which is characterized by inherent randomness and initial value sensitivity.The estimation results of Hurst index show that the futures prices of rapeseed meal,soybean meal and egg have the characteristics of anti-persistence and mean recovery,and the futures prices of seven agricultural products such as cotton,sugar and rapeseed oil have the characteristics of persistence and long-term memory.These conclusions provide theoretical basis for investors’investment decisions and regulatory agencies’risk management and crisis intervention in agricultural futures market.
作者
张立杰
付业辉
ZHANG Li-jie;FU Ye-hui(School of Economics and Management,Xinjiang University,Urumqi,Xinjiang 830047)
出处
《价格月刊》
北大核心
2023年第12期1-9,共9页
基金
新疆维吾尔自治区自然科学基金项目“基于数据挖掘的棉花价格预测研究”(编号:2021D01C053)
新疆维吾尔自治区社会科学基金项目“持续培育壮大新疆特色优势产业研究”(编号:20AZD004)。
关键词
农产品期货价格
非线性
复杂性
李雅普诺夫指数
futures prices of agricultural products
nonlinearity
complexity
Lyapunov index
