Knowledge Management System of Institutes of Science and Development ,CAS
Multi-scale analysis of influencing factors for soybean futures price risk: Adaptive Fourier decomposition mathematical model applied for the case of China | |
Qiwei,Xie; Ranran,Liu; Jingyu,Li; Xiaojiong,Wang | |
发表期刊 | International Journal of Wavelets Multiresolution & Information Processing |
摘要 | Few studies have considered the information in the frequency domain to detect the structural breaks in financial markets. This paper provides a mixed model that integrates BEMD, AFD and Chow test to study the fluctuation characteristics of the soybean futures price. Due to the application of AFD, the mixed model can detect the structural breaks of the price fluctuation through obtaining the high-resolution information in the frequency domain. According to our results, in general, the soybean futures price in China is mainly determined by IMF11, followed by IMF9, IMF8 and IMF7, and there exist many structural breaks of different IMFs. Interestingly, national macro-controls have opposite effects at IMF8 and IMF11. The results show the effectiveness of the proposed mixed model for detecting structural breaks of financial markets in frequency-domain by revealing the impact of external events on the soybean futures price at multi-scales. |
2021 | |
卷号 | 19期号:5页码:2150017 |
DOI | https://doi.org/10.1142/S021969132150017X |
收录类别 | SCI |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.casisd.cn/handle/190111/11533 |
专题 | 中国科学院科技战略咨询研究院 对外合作交流处 |
通讯作者 | Xiaojiong,Wang |
推荐引用方式 GB/T 7714 | Qiwei,Xie,Ranran,Liu,Jingyu,Li,et al. Multi-scale analysis of influencing factors for soybean futures price risk: Adaptive Fourier decomposition mathematical model applied for the case of China[J]. International Journal of Wavelets Multiresolution & Information Processing,2021,19(5):2150017. |
APA | Qiwei,Xie,Ranran,Liu,Jingyu,Li,&Xiaojiong,Wang.(2021).Multi-scale analysis of influencing factors for soybean futures price risk: Adaptive Fourier decomposition mathematical model applied for the case of China.International Journal of Wavelets Multiresolution & Information Processing,19(5),2150017. |
MLA | Qiwei,Xie,et al."Multi-scale analysis of influencing factors for soybean futures price risk: Adaptive Fourier decomposition mathematical model applied for the case of China".International Journal of Wavelets Multiresolution & Information Processing 19.5(2021):2150017. |
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