The Effect Mechanism of El Niño Southern Oscillation on Wheat Futures: Based on EMD and SSVS Algorithm

At present, most of the studies on the relationship between El Nino Southern Oscillation and agricultural futures focus on perceptual and directly data analysis. This article uses EMD algorithm on endpoints processed data to decompose wheat futures price into seven Intrinsic Mode Function and one Residue. Then do symbolic clustering combined with SSVS method and denoised ENSO index. The results not only clearly show the negative relationship between ENSO index and wheat futures price, but also identified the specific impact path of the negative correlation, that is through IMF4 and IMF5. This method to find specific impact mechanism also provides a more rigorous idea to do certain research.