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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
DOIhttps://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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