The Wheat Futures Markets Efficiency Analysis Based on Discrete Wavelet Transform

This paper presents wavelet analysis technique to examine the wheat spot prices for forecasting and investigates the issue of market efficiency for wheat in China and America. This method is based on a wavelet multi-scaling approach that decomposes a given time series on a scale-by-scale basis. A wavelet-based prediction procedure is introduced and market data on wheat is used to provide forecasts for one period ahead. The results are compared with data from the wheat futures markets and the relative performance of this procedure is used to investigate whether futures markets are efficiently priced in China and America