镍期货价格指数时间序列数据的联动波动分析

IF 2.6 3区 经济学 Q1 Business, Management and Accounting
Xiaoci Chen, Guanyu Huo, Gaojie Cao
{"title":"镍期货价格指数时间序列数据的联动波动分析","authors":"Xiaoci Chen, Guanyu Huo, Gaojie Cao","doi":"10.3846/jbem.2023.20191","DOIUrl":null,"url":null,"abstract":"This paper explores the variation pattern of nickel futures prices using the daily closing levels of the nickel futures price index of the London Futures Exchange and the Shanghai Futures Exchange. The data coarse-graining method is employed to transform the continuous time series data of price index changes into symbols {P, N, M}, which are slid through continuous windows to form the modalities of price index linkage fluctuations. By treating the modalities as nodes and the transformations between them as edges, a weighted directed complex network is constructed to represent the linked volatility of the LME and SHFE nickel futures indices time series. The complex network is applied to analyse the network characteristics and obtain the inner pattern of the linked fluctuations. The results show that the complex network of time series linked volatility of the LME and SHFE nickel futures indices exhibits a power-law nature, with closely linked subgroups formed within it. And the mode transitions within these subgroups follow certain patterns. This paper also identifies core positioned modes and important intermediate modes that reflect the dynamics of nickel prices in reality. The method presented in this paper may be extended to related fields and has good applicability.","PeriodicalId":47594,"journal":{"name":"Journal of Business Economics and Management","volume":"20 3‐4","pages":"0"},"PeriodicalIF":2.6000,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"ANALYSIS OF LINKAGE FLUCTUATION IN TIME SERIES DATA OF NICKEL FUTURES PRICE INDEX\",\"authors\":\"Xiaoci Chen, Guanyu Huo, Gaojie Cao\",\"doi\":\"10.3846/jbem.2023.20191\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper explores the variation pattern of nickel futures prices using the daily closing levels of the nickel futures price index of the London Futures Exchange and the Shanghai Futures Exchange. The data coarse-graining method is employed to transform the continuous time series data of price index changes into symbols {P, N, M}, which are slid through continuous windows to form the modalities of price index linkage fluctuations. By treating the modalities as nodes and the transformations between them as edges, a weighted directed complex network is constructed to represent the linked volatility of the LME and SHFE nickel futures indices time series. The complex network is applied to analyse the network characteristics and obtain the inner pattern of the linked fluctuations. The results show that the complex network of time series linked volatility of the LME and SHFE nickel futures indices exhibits a power-law nature, with closely linked subgroups formed within it. And the mode transitions within these subgroups follow certain patterns. This paper also identifies core positioned modes and important intermediate modes that reflect the dynamics of nickel prices in reality. The method presented in this paper may be extended to related fields and has good applicability.\",\"PeriodicalId\":47594,\"journal\":{\"name\":\"Journal of Business Economics and Management\",\"volume\":\"20 3‐4\",\"pages\":\"0\"},\"PeriodicalIF\":2.6000,\"publicationDate\":\"2023-11-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Business Economics and Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3846/jbem.2023.20191\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"Business, Management and Accounting\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Business Economics and Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3846/jbem.2023.20191","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"Business, Management and Accounting","Score":null,"Total":0}
引用次数: 0

摘要

本文利用伦敦期货交易所和上海期货交易所镍期货价格指数的日收盘水平,探讨镍期货价格的变化规律。采用数据粗粒化方法,将价格指数变化的连续时间序列数据转化为符号{P, N, M},通过连续窗口滑动,形成价格指数联动波动模态。通过将模态作为节点,将模态之间的转换作为边,构建了一个加权有向复杂网络来表示LME和SHFE镍期货指数时间序列的关联波动率。应用复杂网络分析了网络特性,得到了连锁波动的内部模式。结果表明,LME和SHFE镍期货指数的时间序列关联波动率的复杂网络表现为幂律性质,其中形成了紧密联系的子群。这些子组中的模式转换遵循一定的模式。本文还确定了反映现实镍价动态的核心定位模式和重要中间模式。本文提出的方法可推广到相关领域,具有良好的适用性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
ANALYSIS OF LINKAGE FLUCTUATION IN TIME SERIES DATA OF NICKEL FUTURES PRICE INDEX
This paper explores the variation pattern of nickel futures prices using the daily closing levels of the nickel futures price index of the London Futures Exchange and the Shanghai Futures Exchange. The data coarse-graining method is employed to transform the continuous time series data of price index changes into symbols {P, N, M}, which are slid through continuous windows to form the modalities of price index linkage fluctuations. By treating the modalities as nodes and the transformations between them as edges, a weighted directed complex network is constructed to represent the linked volatility of the LME and SHFE nickel futures indices time series. The complex network is applied to analyse the network characteristics and obtain the inner pattern of the linked fluctuations. The results show that the complex network of time series linked volatility of the LME and SHFE nickel futures indices exhibits a power-law nature, with closely linked subgroups formed within it. And the mode transitions within these subgroups follow certain patterns. This paper also identifies core positioned modes and important intermediate modes that reflect the dynamics of nickel prices in reality. The method presented in this paper may be extended to related fields and has good applicability.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
5.80
自引率
3.80%
发文量
48
审稿时长
15 weeks
期刊介绍: The Journal of Business Economics and Management is a peer-reviewed journal which publishes original research papers. The objective of the journal is to provide insights into business and strategic management issues through the publication of high quality research from around the world. We particularly focus on research undertaken in Western Europe but welcome perspectives from other regions of the world that enhance our knowledge in this area. The journal publishes in the following areas of research: Global Business Transition Issues Economic Growth and Development Economics of Organizations and Industries Finance and Investment Strategic Management Marketing Innovations Public Administration.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信