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Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model

Author

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  • Yuhe Zhao

    (China Agricultural University)

  • Ronghua Ju

    (China Agricultural University)

Abstract

This study investigates how the investor structures affect the corn futures price volatility using corn futures and spot price daily data ranging from 5 January 2009 to 31 December 2022. Our contribution to the expanding literature lies in the introduction of an artificial Chinese corn futures market model based on the agent-based model (ABM), which offers an innovative solution to the issue of the unavailability of commercial positions data. Moreover, we improve the prediction accuracy of corn futures prices by the autoregressive neural network (AR-Net) model. The scenario simulation results demonstrate that hedgers can stabilize corn futures prices, and price volatility tends to be more dramatic in structures with a low hedger ratio. In addition, robustness tests by the empirical mode decomposition (EMD) model support the conclusion.

Suggested Citation

  • Yuhe Zhao & Ronghua Ju, 2025. "Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model," Computational Economics, Springer;Society for Computational Economics, vol. 65(2), pages 937-961, February.
    • Handle: RePEc:kap:compec:v:65:y:2025:i:2:d:10.1007_s10614-024-10613-5
    DOI: 10.1007/s10614-024-10613-5
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