文章基本信息

标题：Market Efficiency and Nonlinear Analysis of Soybean Futures
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作者：Tao Yin ; Yiming Wang
期刊名称：Sustainability
印刷版ISSN：2071-1050
出版年度：2021
卷号：13
期号：2
页码：518
DOI：10.3390/su13020518
语种：English
出版社：MDPI, Open Access Journal
摘要：In this paper, the multifractal detrended fluctuation analysis (MF-DFA) method is used to identify the multifractal structure of in the Chicago Board of Trade (CBOT) soybean futures and quantitatively describe the inefficiency and nonlinearity of the market. The data is the daily price of CBOT soybean futures from 3 January 2000 to 20 December 2019, with a total of 5025 trading days. The empirical results also show that the perspective based on MF-DFA can explain the market’s nonlinear, long-range correlation, predictability and other financial anomalies. At the same time, the prediction of price change direction and risk degree of the market are further studied. It is pointed out that multifractal characteristics are generated under the joint action of fat-tail distribution and long-range correlation. Investors can make use of these market characteristics to make arbitrage possible. Finally, based on the empirical results, some policy suggestions are put forward: strengthening rational investment education, strengthening supervision, reducing information asymmetry and other measures to improve market efficiency.