Research On Futures Portfolio Strategy Based On Complex Network

In recent years,with the deepening of people's understanding of the complex network theory,the complex network theory has not only been limited to the field of physics,but also gradually applied to the study of various complex systems.Most of the research on finance focuses on the topology structure of the stock market's associated network,while the literature on the application of complex network to the portfolio of futures market is rare.Therefore,this paper uses the complex network theory to analyze the price return,volatility and the importance of futures.Taking the futures varieties as the nodes,the futures income network and the futures fluctuation network are constructed respectively.Then,the complex futures network is divided into communities and the investment portfolio is constructed by using the modular algorithm.The effective portfolio is further configured by means of the meanvariance model.The theory of complex network is combined with quantitative portfolio construction.Through the research,we find that China's commodity futures network has the characteristics of small world network structure.Most of the futures with higher intermediate value in the futures network belong to energy and chemical industry and non-ferrous metals.When their futures returns are higher,there will be more futures with higher returns.Ten kinds of futures are selected as investment portfolio through the community division of futures income network and futures fluctuation network.Then the Markowitz mean variance model is used to solve the optimal frontier of the portfolio,and the ratio of return to risk is analyzed.Finally,four futures varieties are selected and invested according to a certain weight,namely,the weight of futures varieties is respectively: AG.SHF weight is 27.46%,C.DCE weight is 60.11%,M.DCE weight is 3.89%,the weight of J.DCE is 8.54%.Then,we compile the double average code to realize the historical data back testing with the double average as the buying and selling signal,and find that the selected portfolio has obtained positive returns both inside and outside the sample under a certain risk measurement.The research of this paper provides a new way for the quantitative investment of futures investors by combining the complex network theory and other methods.