IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v389y2010i7p1434-1444.html
   My bibliography  Save this article

Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets

Author

Listed:
  • Chen, Shu-Peng
  • He, Ling-Yun

Abstract

Based on Partition Function and Multifractal Spectrum Analysis, we investigated the nonlinear dynamical mechanisms in China’s agricultural futures markets, namely, Dalian Commodity Exchange (DCE for short) and Zhengzhou Commodity Exchange (ZCE for short), where nearly all agricultural futures contracts are traded in the two markets. Firstly, we found nontrivial multifractal spectra, which are the empirical evidence of the existence of multifractal features, in 4 representative futures markets in China, that is, Hard Winter wheat (HW for short) and Strong Gluten wheat (SG for short) futures markets from ZCE and Soy Meal (SM for short) futures and Soy Bean No.1 (SB for short) futures markets from DCE. Secondly, by shuffling the original time series, we destroyed the underlying nonlinear temporal correlation; thus, we identified that long-range correlation mechanism constitutes major contributions in the formation in the multifractals of the markets. Thirdly, by tracking the evolution of left- and right-half spectra, we found that there exist critical points, between which there are different behaviors, in the left-half spectra for large price fluctuations; but for the right-hand spectra for small price fluctuations, the width of those increases slowly as the delay t increases in the long run. Finally, the dynamics of large fluctuations is significantly different from that of the small ones, which implies that there exist different underlying mechanisms in the formation of multifractality in the markets. Our main contributions focus on that we not only provided empirical evidence of the existence of multifractal features in China agricultural commodity futures markets; but also we pioneered in investigating the sources of the multifractality in China’s agricultural futures markets in current literature; furthermore, we investigated the nonlinear dynamical mechanisms based on spectrum analysis, which offers us insights into the underlying dynamical mechanisms in China’s agricultural futures markets.

Suggested Citation

  • Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
    • Handle: RePEc:eee:phsmap:v:389:y:2010:i:7:p:1434-1444
    DOI: 10.1016/j.physa.2009.12.009
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S037843710901005X
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2009.12.009?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Marco Corazza & A.G. Malliaris & Carla Nardelli, 1997. "Searching for fractal structure in agricultural futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(4), pages 433-473, June.
    2. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractal analysis of Chinese stock volatilities based on the partition function approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(19), pages 4881-4888.
    3. Ling-Yun He & Ying Fan & Yi-Ming Wei, 2007. "The empirical analysis for fractal features and long-run memory mechanism in petroleum pricing systems," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 27(4), pages 492-502.
    4. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    5. Alvarez-Ramirez, Jose & Cisneros, Myriam & Ibarra-Valdez, Carlos & Soriano, Angel, 2002. "Multifractal Hurst analysis of crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(3), pages 651-670.
    6. Kaushik Matia & Yosef Ashkenazy & H. Eugene Stanley, 2003. "Multifractal Properties of Price Fluctuations of Stocks and Commodities," Papers cond-mat/0308012, arXiv.org.
    7. Yuan, Ying & Zhuang, Xin-tian, 2008. "Multifractal description of stock price index fluctuation using a quadratic function fitting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 511-518.
    8. Norouzzadeh, P. & Dullaert, W. & Rahmani, B., 2007. "Anti-correlation and multifractal features of Spain electricity spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 333-342.
    9. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and multifractality in the term structure of LIBOR interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 603-614.
    10. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Multifractality and herding behavior in the Japanese stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(1), pages 497-504.
    11. Kwapień, J. & Oświe¸cimka, P. & Drożdż, S., 2005. "Components of multifractality in high-frequency stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 466-474.
    12. Lim, Gyuchang & Kim, SooYong & Lee, Hyoung & Kim, Kyungsik & Lee, Dong-In, 2007. "Multifractal detrended fluctuation analysis of derivative and spot markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 259-266.
    13. Adrangi, Bahram & Chatrath, Arjun & Dhanda, Kanwalroop Kathy & Raffiee, Kambiz, 2001. "Chaos in oil prices? Evidence from futures markets," Energy Economics, Elsevier, vol. 23(4), pages 405-425, July.
    14. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractality in stock indexes: Fact or Fiction?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3605-3614.
    15. Gopikrishnan, P. & Plerou, V. & Gabaix, X. & Amaral, L.A.N. & Stanley, H.E., 2001. "Price fluctuations and market activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 137-143.
    16. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
    17. Moyano, L.G. & de Souza, J. & Duarte Queirós, S.M., 2006. "Multi-fractal structure of traded volume in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(1), pages 118-121.
    18. Norouzzadeh, P. & Rahmani, B., 2006. "A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 328-336.
    19. Oświe¸cimka, P. & Kwapień, J. & Drożdż, S., 2005. "Multifractality in the stock market: price increments versus waiting times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 347(C), pages 626-638.
    20. oh, Gabjin & Kim, Seunghwan & Eom, Cheoljun, 2008. "Long-term memory and volatility clustering in high-frequency price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1247-1254.
    21. Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
    22. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    23. Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
    24. Stanley, H.E & Amaral, L.A.N & Canning, D & Gopikrishnan, P & Lee, Y & Liu, Y, 1999. "Econophysics: Can physicists contribute to the science of economics?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 156-169.
    25. Kumar, Sunil & Deo, Nivedita, 2009. "Multifractal properties of the Indian financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1593-1602.
    26. Barabási, Albert-László & Szépfalusy, Péter & Vicsek, Tamás, 1991. "Multifractal spectra of multi-affine functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 178(1), pages 17-28.
    27. Du, Guoxiong & Ning, Xuanxi, 2008. "Multifractal properties of Chinese stock market in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 261-269.
    28. Chatrath, Arjun & Adrangi, Bahram & Dhanda, Kanwalroop Kathy, 2002. "Are commodity prices chaotic?," Agricultural Economics, Blackwell, vol. 27(2), pages 123-137, August.
    29. Zunino, L. & Tabak, B.M. & Figliola, A. & Pérez, D.G. & Garavaglia, M. & Rosso, O.A., 2008. "A multifractal approach for stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6558-6566.
    30. V. Plerou & P. Gopikrishnan & X. Gabaix & L. A. N. Amaral & H. E. Stanley, 2001. "Price fluctuations, market activity and trading volume," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 262-269.
    31. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.
    2. Zhou, Wei-Xing, 2012. "Finite-size effect and the components of multifractality in financial volatility," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
    3. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(632), A), pages 61-80, Autumn.
    4. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3218-3229.
    5. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    6. Wei, Yu & Chen, Wang & Lin, Yu, 2013. "Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2163-2174.
    7. Aslam, Faheem & Memon, Bilal Ahmed & Hunjra, Ahmed Imran & Bouri, Elie, 2023. "The dynamics of market efficiency of major cryptocurrencies," Global Finance Journal, Elsevier, vol. 58(C).
    8. Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurrum S. & Khan, Maaz, 2020. "On the efficiency of foreign exchange markets in times of the COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
    9. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractal analysis of Chinese stock volatilities based on the partition function approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(19), pages 4881-4888.
    10. Hasan, Rashid & Mohammad, Salim M., 2015. "Multifractal analysis of Asian markets during 2007–2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 746-761.
    11. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
    12. Takaishi, Tetsuya, 2018. "Statistical properties and multifractality of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 507-519.
    13. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    14. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
    15. Chen, Hongtao & Wu, Chongfeng, 2011. "Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(16), pages 2926-2935.
    16. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    17. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    18. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
    19. Ruan, Qingsong & Yang, Bingchan, 2017. "The effects of common risk factors on stock returns: A detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 362-374.
    20. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:389:y:2010:i:7:p:1434-1444. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.