Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)

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Multifractal Detrended Cross-Correlation Analysis on Returns of Soybean Futures and Spot Markets

Authors
Jia Liu1, Hanfei Li2, *, Ping Yu3, Youyi Wu4
1Shanghai Dongzheng Future Co., Ltd, No. 318, Zhongshan South Road, Shanghai, China
2School of Economics and Management, Tongji University, No. 1239 Siping Road, Shanghai, China
3Tianhua College, Shanghai Normal University, No. 1661 Shengxin North Road, Shanghai, China
4The University of Chicago, Chicago, 60611, USA
*Corresponding author. Email: 1343121813@qq.com
Corresponding Author
Hanfei Li
Available Online 2 December 2022.
DOI
10.2991/978-94-6463-010-7_102How to use a DOI?
Keywords
Multifractal Characteristics; Soybean Futures; Soybean Spot; MF-DCCA
Abstract

Considering that multifractal characteristics widely exists in financial markets, this paper adopts the multifractal detrended cross-correlation analysis (MF-DCCA) method to study the correlation between futures and spot returns in China's soybean market. Based on the data of soybean No. 1 futures and soybean spot price from January 4, 2011 to February 23, 2022, this paper shows that there is a high degree of multifractal cross-correlation between soybean futures and spot returns. Furthermore, this paper proves that the cross-correlation between the two time series are persistent.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
Series
Atlantis Highlights in Intelligent Systems
Publication Date
2 December 2022
ISBN
10.2991/978-94-6463-010-7_102
ISSN
2589-4919
DOI
10.2991/978-94-6463-010-7_102How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jia Liu
AU  - Hanfei Li
AU  - Ping Yu
AU  - Youyi Wu
PY  - 2022
DA  - 2022/12/02
TI  - Multifractal Detrended Cross-Correlation Analysis on Returns of Soybean Futures and Spot Markets
BT  - Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
PB  - Atlantis Press
SP  - 1012
EP  - 1019
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-010-7_102
DO  - 10.2991/978-94-6463-010-7_102
ID  - Liu2022
ER  -