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Visibility graph analysis of the grains and oilseeds indices

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  • Liu, Hao-Ran
  • Li, Ming-Xia
  • Zhou, Wei-Xing

Abstract

The Grains and Oilseeds Index (GOI) and its sub-indices of wheat, maize, soyabeans, rice, and barley are daily price indexes reflect the price changes of the global spot markets of staple agro-food crops. In this paper, we carry out a visibility graph (VG) analysis of the GOI and its five sub-indices. Our findings reveal that the degree distributions of the VGs, except for rice, exhibit exponentially truncated power-law tails, while the rice VG conforms to a power-law tail. The average clustering coefficients of the six VGs are quite large (>0.5) and exhibit a nice power-law relation with respect to the average degrees of the VGs. For each VG, the clustering coefficients of nodes are inversely proportional to their degrees for large degrees and are correlated to their degrees as a power law for small degrees. All six VGs exhibit small-world characteristics. The degree-degree correlation coefficients show that the VGs for maize and soyabeans indices exhibit weak assortative mixing patterns, while the other four VGs are weakly disassortative. The average nearest neighbor degree functions have similar patterns, and each function shows a more complex mixing pattern that decreases for small degrees, increases for mediate degrees, and decreases again for large degrees.

Suggested Citation

  • Liu, Hao-Ran & Li, Ming-Xia & Zhou, Wei-Xing, 2024. "Visibility graph analysis of the grains and oilseeds indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 650(C).
    • Handle: RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124005132
    DOI: 10.1016/j.physa.2024.130004
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    1. Yan-Hong Yang & Ying-Lin Liu & Ying-Hui Shao, 2023. "Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," Papers 2310.18903, arXiv.org, revised Jun 2024.

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