基于EMD分解的螺纹钢期货价格发现的实证研究

Study on Price Discovery Function of Steel Futures Based on Empirical Mode Decomposition

运用经验模态分解方法(EMD),分别将螺纹钢期货价格和现货价格时间序列分解成若干IMF分量和趋势项。通过对分解后的不同分量进行统计和计量分析发现:①与期货价格与现货价格的相关性相比,相应的趋势项之间具有更高的相关关系;②期货价格的主IMF分量在形态上对现货价格主IMF分量具有引导作用;③IMF中期波动分量和长期波动能够很好的表现出期货价格和现货价格的因果关系。这些结果表明,螺纹钢期货市场已经基本具备了价格发现的功能。

Applying empirical mode decomposition（EMD） method,this paper decomposes times series of both steel futures prices and spot prices into several intrinsic modes functions（IMFs） and the average trend terms.It makes statistics and quantitative analysis for the decomposed data of different component,which indicates that：1） compared with the correlation of the futures prices and the spot prices,the trend terms of futures prices are more correlated with that of the spot prices;2） the dominant IMFs of futures guide the dominates IMFs of spot prices on the shape;3） medium-term and long-term volatility component have good Granger relationship between futures and spot prices.All these show that the steel futures market has achieved the price discovery function.