ARIMA Analysis of the volatility of the Soybean Futures Index of Dalian Commodity Exchange

DOI

10.2991/iceemt-16.2016.115How to use a DOI?

Keywords

Soybean Futures Index, ARIMA, Volatility, Dalian Commodity Exchange

Abstract

The futures market is an important part of the economy. It has the functions of price discovery, risk aversion and asset allocation. This article is a summary of related studies of soybean futures index using No. 1 Soybean Index as the subject of research. 2813 pieces of raw data of Nanhua Soybean Index were selected, and the trend of Nanhua Soybean Index is fitted using ARIMA model. The results showed that the ARIMA model is suitable for extracting the information from the raw data, and thus it is highly essential for the analyses of future indexes. It is an important tool for the in-depth studies of financial derivatives.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jincheng Huang
AU  - Yan Li
PY  - 2016/08
DA  - 2016/08
TI  - ARIMA Analysis of the volatility of the Soybean Futures Index of Dalian Commodity Exchange
BT  - Proceedings of the 2016 International Conference on Education, E-learning and Management Technology
PB  - Atlantis Press
SP  - 596
EP  - 600
SN  - 2352-5398
UR  - https://doi.org/10.2991/iceemt-16.2016.115
DO  - 10.2991/iceemt-16.2016.115
ID  - Huang2016/08
ER  -