Research On The Linkage Between Spot And Futures Price Of Energy Commodities And Its Application

This article examines the linkage between spots and futures in the five Bulk energy commodity markets in the New York Mercantile Exchange(NYMEX),the WTI crude oil market,the New York Harbor Gas market,the New York Harbor 2 fuel oil market,the TX propane market,natural gas market.The research on the linkage relationship mainly starts from three aspects:First,the basic statistical analysis of the price series of these five kinds of bulk energy commodities mainly includes descriptive statistics,stationarity test and volatility analysis.The results of descriptive statistics show that all the five kinds of bulk energy commodities have peak-skewed characteristics and they do not obey the normal distribution.The basic price series change smoothly after the first-order difference.By using the DFA method,these five kinds of bulk energy commodity proceeds Rate of volatility analysis,the results show that the five major commodity energy yield series showed a long-range correlation,the fluctuation period of no more than 3 months.Secondly,qualitative and quantitative methods are used to study the linkage between spot and futures prices of five kinds of bulk energy commodities.Qualitative aspects mainly use linear and nonlinear Granger causality test.The result of linear Granger causality test shows that the spot price and futures price in WTI crude oil market,heating oil market and propane market in the five major energy commodity markets are Two-way Granger to guide the relationship,while the fuel oil market and natural gas market price plays a leading role in price discovery;non-linear Granger causality results show that the spot price of these five kinds of bulk commodities and futures prices are The two-way Granger causality is presented.Then the error correction model is established and the Information Share model is established on the basis of the error correction model.By quantifying the price contribution of spot price and futures price in each market,Determining the leading-lagging relationship between the spot price and the futures price shows that the price contribution of the spot and futures prices in the five major energy commodity markets is basically equal.The spot price and the futures price guide each other,which is in line with the nonlinear Granger causality The test results are consistent,but also verified the financial again Nonlinear structures column.Finally,the general prediction model,the error correction prediction model and the GA-BP model are established based on the IS information sharing model and the error correction model by introducing the linkage between the spot price and the futures price,neural network algorithm and genetic algorithm in the natural sciences.Forecasting model,the spot prices of five kinds of bulk energy commodities are predicted.The RMSE and MAPE indexes are used to evaluate the forecasting results.The results show that the prediction of the general forecasting model and the error correcting model The results are basically the same,the prediction effect of GA-BP prediction model is better than the other two.