Transaction Behavior and Volatility of Price Signals in Futures Market

摘要：

Taking soybean futures on Dalian Commodity Exchange for example, the paper studies the relationship between transaction behavior of agricultural futures investors and volatility of futures price. Most previous researches use parametric models to study price volatility, but estimation of volatility is efficient only when the form of general parametric models is rational and all assumptions are fulfilled. Wavelet analysis has good time-frequency and zoom characteristics, with which we can improve the reliability of research conclusion because we dont need to build volatile model to describe volatility. The paper decomposes price signals by using Db wavelet and calculates the co-integration relationship between transaction behavior and each frequency component of price signals. Research conclusion shows: (1) price volatility mainly results from short-term factors, and short-term volatility is much violent than long-term volatility. (2)There is a long-term equilibrium relationship between high-frequency signal and transaction behavior.

关键词： transaction behavior price signals volatility futures investment wavelet analysis

作者: Yu Zhao Yu Zhang Chunjie Qi

作者单位: College of Economics & Management, Huazhong Agricultural University, HZAU Wuhan, Hubei, P.R.China College of Economics & Management, Huazhong Agricultural University, HZAU Wuhan, Hubei, RRXhina

会议类型: 国际会议

会议名称: Second International Symposium on Electronic Commerce and Security(第二届电子商务与安全国际研究大会)(ISECS 2009)

会议地点: 南昌

会议语种:英文

页码: 79-83

在线出版日期: 2009-05-22（万方平台首次上网日期，不代表论文的发表时间）