Research PaperNo Access

Multi-scale analysis of influencing factors for soybean futures price risk: Adaptive Fourier decomposition mathematical model applied for the case of China

Qiwei Xie

School of Economics and Management, Beijing University of Technology, Beijing 100124, China

E-mail Address: qiwei.xie@bjut.edu.cn

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Ranran Liu

School of Economics and Management, Beijing University of Technology, Beijing 100124, China

E-mail Address: liuranran_0317@emails.bjut.edu.cn

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Jingyu Li

School of Economics and Management, Beijing University of Technology, Beijing 100124, China

E-mail Address: lijy@bjut.edu.cn

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, and

Xiaojiong Wang

https://orcid.org/0000-0002-9229-301X

Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China

E-mail Address: wxjiong333@gmail.com

Corresponding author.

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https://doi.org/10.1142/S021969132150017XCited by:3 (Source: Crossref)

Abstract

Few studies have considered the information in the frequency domain to detect the structural breaks in financial markets. This paper provides a mixed model that integrates BEMD, AFD and Chow test to study the fluctuation characteristics of the soybean futures price. Due to the application of AFD, the mixed model can detect the structural breaks of the price fluctuation through obtaining the high-resolution information in the frequency domain. According to our results, in general, the soybean futures price in China is mainly determined by IMF11, followed by IMF9, IMF8 and IMF7, and there exist many structural breaks of different IMFs. Interestingly, national macro-controls have opposite effects at IMF8 and IMF11. The results show the effectiveness of the proposed mixed model for detecting structural breaks of financial markets in frequency-domain by revealing the impact of external events on the soybean futures price at multi-scales.

Keywords:

AMSC: 42A99

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