Comparison on Turnovers of Agricultural Products Futures Based on Hilbert-Huang Transform

Abstract

In order to distinguish the different patterns and evolving trends on turnovers of agricultural products futures between Zhengzhou Commodity Exchange (Z-CE) and Dalian Commodity Exchange (D-CE), a novel time-frequency analysis approach, i.e. Hilbert-Huang transform (HHT), is investigated in this paper. Firstly, Hilbert-Huang transform is briefly introduced. Secondly, two different non-stationary signals of turnover of agricultural products futures from 2009 to 2013 coming from Z-CE and D-CE are described in Empirical Mode Decomposition (EMD). With these results, the two signals are distinctly different from each other. It is proved that the technique of HHT is effective for the purpose of distinction of turnover of agricultural products futures in commodity exchanges.