Multifractal Fluctuation Analysis of Correlations between Agricultural Futures Markets in China and the US Based on MF-X-DFA and MF-DPXA Methods

Abstract

The fluctuation characteristics of the correlations between China and the US agricultural futures markets have attracted extensive attention from academic circles and government departments. As the main factor that affects the agricultural futures price, the impact of international crude oil futures price on the correlations of the Sino-US agricultural futures markets is also worth discussing. Therefore, this paper adopts the multifractal detrended cross-correlation analysis (MF-X-DFA) and multifractal detrended partial cross-correlation analysis (MF-DPXA) to explore the fluctuation characteristics of cross-correlations for China and the US agricultural futures markets before and after removing the West Texas Intermediate (WTI) crude oil futures price as well as the impact on the cross-correlations. The results show that the fluctuation characteristics of the cross-correlations and partial cross-correlations between the corresponding varieties of China and the US agricultural futures markets as well as among the varieties within the markets are multifractal. The cross-correlation behaviors and the cross-market risks are all affected to varying degrees by the West Texas Intermediate (WTI) crude oil futures. The West Texas Intermediate (WTI) crude oil futures weaken the cross-market risk of the Sino-US soybean futures, while strengthening the cross-market risk of the Sino-US corn and wheat futures. In addition, the impact of the West Texas Intermediate (WTI) crude oil futures on the cross-market risks among China agricultural futures is greater than those among the US corresponding agricultural futures.

Persistence in complex systems

“…Studies on general crude oil markets persistence [263,262,261,260,259,264] and specific national markets such as Chinese [265] or Brazilian [266] can be found in the literature. Long-term persistence evaluation techniques have also been recently applied to the study of other markets such as housing [269] or agricultural [267,268].…”

Research on Risk Features and Prediction of China’s Crude Oil Futures Market Based on Machine Learning

“…Zhang et al (2019) and others studied the multifractal characteristics of bitcoin market with MF-DCCA, and further analyzed the multifractal correlation between bitcoin price and other financial market prices. Feng and Cao (2022) used multifractal detrended cross-correlation analysis (MF-X-DFA) and multifractal detrended partial cross-correlation analysis (MF-DPXA) to explore the fluctuation characteristics of cross-correlation between China and the United States agricultural futures market before and after canceling the price of West Texas medium crude oil futures, as well as the impact and cross-correlation on the market.…”