Research On Real-time Early-warning For Price Bubble In Nonferrous Metal Futures Market

After more than 20 years of development,the price discovery and hedging function of China’s nonferrous metal futures market has been continuously improved,which is not only favored by all kinds of investors,but also successfully integrated into the international market.With the deepening of the financialization of metals and the increasing linkage of prices in the financial market,the influence of supply and demand factors on the price fluctuation of nonferrous metals is weakened,and the influence of domestic industrial policies,financial speculation,international economic situation and other factors on the price fluctuation of nonferrous metals in China is strengthened.Violent price fluctuations will lead to market risks,which is not conducive to the stable development of the futures market.Therefore,nonferrous metal futures market risk management has become particularly important,effective price formation mechanism and risk management mechanism is crucial to the orderly development of nonferrous metal futures market,its price stability is not only related to the security of national mineral resources,its risk management is an important guarantee for the normal operation of the macro economy.An important reference index to measure the risk of futures market is the degree of price fluctuation in futures market.This paper studies the price bubble of nonferrous metal futures market from the background of financial security to realize the management of extreme risks.Based on the right tail unit root test and double recursive regression,the real-time detection model of price bubbles in the futures market of nonferrous metals was constructed,and three risk evaluation indexes of "bubble length","bubble frequency" and "bubble strength" were selected,and a real-time warning system was designed.The results showed that: copper,aluminum,zinc and lead futures markets all had price bubbles,among which the aluminum futures market appeared 7 times and the lead futures market only 2 times,Speculation,macroeconomic factors are more likely to lead to the emergence of price bubbles.In the historical risk rating of copper,aluminum,zinc and lead futures markets,the copper and aluminum futures markets are in a state of high risk,the zinc futures markets are in a state of medium risk,and the lead futures markets are in a state of low risk.When setting up the corresponding alarm response mechanism for the alarm level,different alarm response mechanisms should be set for the alarm level of different varieties due to the different alarm standards of different varieties.