Co-movement Relation Between Chinese Spot Price Of Soybean And Futures Prices

The connection between Agricultural Products Market and Financial Market is becoming closer with more general financialization.The price changes of a market not merely affects future development of the market,but also other markets will respond to the variation.The linked variation is reflected in “the Soybean Market” at the same time.When the forward price changes more frequently,spot price get continual changes,too.The occurrence of this condition raise the market risk to participators,who worked on the soybean industrial chain.It has became a focus question what made formation of the connection between commodity price and spot price of soybean as well as the inside mechanisms of price conduction.A research of these questions will be beneficial to soybean product participators,who want to avoid the market risk,will make a better measure of the “price discovery function”,make it clearer to learn the pricing mechanisms of soybean,and will batter serve the soybean's future development.The weekly data of soybean price from January 9,2009 to January 6,2017 were selected as samples.The data are processed by wavelet transform,and the data are decomposed into detailed information signals of different frequencies based on the multiresolution analysis property of wavelet transform.According to related economic research,the impact of market information on later development will weaken as time goes on.The detailed signal information of different frequencies represents the influence components in different time span.By studying the spillover effects of different frequency data,we can examine the closeness between soybean spot market price and two futures market prices as a whole.We also screened and analyzed the most closely linked price data of soybean spot price in China.Using the method of complex network,the paper introduces the theory of data sliding window to express the linkage of the price of soybean spot market in China,constructs the autobiography model of the fluctuation of soybean market,and excavates the self ownership and dynamic characteristics of the market linkage.The point intensity,the medium concentration,the nature of the small world network and the aggregation coefficient in the complex network are investigated,and the complex characteristics of the complex network and the internal changes of the network are studied from the angle of the complex network topology.In view of the dynamic formation of complex network internal change,we establish an evolutionary game analysis model to analyze the reasons behind the formation of power.The main research direction is placed on the market equilibrium point of evolutionary game--the goal of final evolution stable strategy.Explore the market price conditions of the final evolutionary stable strategy.The whole research shows that the domestic spot market is more influenced by intestine commodity market than foreign commodity market.In the co-moment complex network,which is made by domestic spot and commodity market price,appeared two kinds of secondary wave network respectively leading by “same direction co-movement” and “oppose direction co-movement”.On account of the system's defective tightness,the co-moment conversion transformed fleetly between “same direction” and “oppose direction”.By using the evolutionary game to analyze and study the reason of co-movement's conversion found that,in the market,the final stable evolutional strategy made the co-movement's fluxion.