Transaction Behavior and Volatility of Price Signals in Futures Market

Taking soybean futures on Dalian Commodity Exchange for example, the paper studies the relationship between transaction behavior of agricultural futures investors and volatility of futures price. Most previous researches use parametric models to study price volatility, but estimation of volatility is efficient only when the form of general parametric models is rational and all assumptions are fulfilled. Wavelet analysis has good time-frequency and zoom characteristics, with which we can improve the reliability of research conclusion because we don´t need to build volatile model to describe volatility. The paper decomposes price signals by using Db wavelet and calculates the co-integration relationship between transaction behavior and each frequency component of price signals. Research conclusion shows that price volatility mainly results from short-term factors, and short-term volatility is much violent than long-term volatility; and there is a long-term equilibrium relationship between high-frequency signal and transaction behavior.