| Agricultural futures are a financial symbol of commodities,and their price information reflects the demand and cost of agricultural products,which is a barometer of agricultural production and trade in various countries.China and the United States are the world’s largest two economies,The agricultural futures market plays an important role in stabilizing domestic agricultural production and promoting the stable development of the world economy.This thesis takes 58 kinds of major agricultural futures in China and the United States as the research objects.Firstly,the multifractal detrended fluctuation analysis/cross-correlation analysis is used to study the multifractal autocorrelation and cross-correlation of futures price time series from two dimensions of different time scales and different price fluctuation intervals.Then,based on the multi-scale elastic cross-correlation coefficient,three kinds of undirected weighted networks(Chinese Agricultural Futures Logarithmic Returns Network,American Agricultural Futures Logarithmic Returns Network,and Chinese Commodity Futures Logarithmic Returns Network)are constructed by using the complex network method.By examining the four-node attributes of the complex network(weighted degree,closeness centrality,intermediary centrality,betweenness centrality)and the six overall attributes of the network(average weighted degree,network diameter,graph density,average clustering coefficient,average path length,modularity),the dynamic characteristics and differences of China and the United States agricultural futures networks are deeply excavated.And the futures market linkage analysis of Chinese commodity futures logarithmic return network based on community discovery.Through research,it is found that China’s agricultural futures market,the US agricultural futures market,and China’s commodity futures market are not strong efficient markets.The correlation between short-term market futures varieties is higher than the long-term;the correlation between futures varieties in the bear market is higher than that in the bull market.Compared with the United States,the price of China’s agricultural futures market fluctuates greatly,the leverage effect is obvious,and the ability to resist risks is poor.China’s agricultural futures market under the bull market medium-term trading volume is small and unsustainable,the turnover rate is high and volatile,and the futures trading volume and trading scale are small.In addition,in China’s commodity futures market,there is a close correlation between the same category futures,and it increases with the increase of time scale and price fluctuation,while different categories of futures are opposite.According to the research results,this paper finally puts forward suggestions: increasing the variety of agricultural futures,optimizing the structure of agricultural futures,and improving the investor’s main structure;attention should be paid to hub futures,and risk early warning should be done to prevent risks from happening. |
