我国豆粕期货市场混沌性分析.pdfVIP

(),2014,45(2):280-286 VOL.45 NO.2 2014 Journal of Shandong Agricultural University (Natural Science Edition ) doi:10.3969/j.issn.1000-2324.2014.02.022 * , 712100 2001 1 2012 12 2912 C-C G-P 9 29 Lyapunov 251 d ; ; ; ; Lyapunov F830.91 A 1000-2324(2014)02-0280-07 Analysis of Chaos Characteristics of Soybean Meal Futures Market in China GUO Rong, WANG Jing* College of Economics and Management, Northwest Agriculture and Forestry University, Yangling 712100,China Abstract: According to the sample of soybean meal futures price series in China from Jan 2001to Dec 2012, 2912 data in total, we reconstruct a phase space by method of C-C and G-P. This phase space is with the best embedding dimension for 9 and the optimal delay time for 29. On this basis, a fractal dimension is calculated in non-integer form and the positive maximal Lyapunov exponent is obtained with small-data algorithm method. All prove the chaotic characteristic of the soybean meal futures market in China. Study shows our soybean meal futures market is not a valid one. Its price volatility is both random and certain. Therefore, there is no long time predictive ability available. However, a short-term prediction for 251 days is possible, which can be a good reference of futures market value prediction. Keywords: Soybean meal futures price; chaos identification; chaotic predictability; fractal dimension; maximal Lyapunov exponent