Multifractal analysis of China's agricultural commodity futures markets

Abstract

Abstract We investigate the multifractal characteristics of the volatility time series from China's agricultural commodity futures markets, using Multifractal Detrended Fluctuation Analysis and multifractal spectrum analysis. We find that prominent multifractal features exit in China's major agricultural commodity futures markets, including the Hard Winter Wheat (HW) futures, the Strong Gluten Wheat (SG) futures, Soy Bean (SB) futures and corn futures. Furthermore, the multifractality strength and multifractal spectrum width of HW futures are both bigger than that of SG, SB and corn futures, implying that the market risk for HW futures might be the strongest among all the four futures contracts. Finally, comparing empirical results of shuffling and surrogate data, we also find that nonlinear temporal correlations instead of non-Gaussian distribution constitute the major contributions in the formation of multifractal features in these four agricultural commodity futures markets.