Title :
A Study on the Price Behavior of Chinese Copper Future
Author :
Zheng, Feng ; Cheng, Xia
Author_Institution :
Sch. of Econ. & Manage., North China Univ. of Technol., Beijing, China
Abstract :
This paper studies the price behavior of Chinese copper future by Zipf-type analysis model. We transformed the closing copper future price data to series only contained up-down information by certain thresholds. We have observed phase transitions phenomena in copper future market, and identified three critical points, at which the heterogeneous agents transit their trading behaviors. We found the first phase is affected by noise traders, the second and third phase is controlled by fundamentalists, the forth phase is controlled by noise traders.
Keywords :
copper; pricing; Chinese copper future; Zipf-type analysis model; heterogeneous agents; noise traders; price behavior; Conference management; Context modeling; Copper; Frequency; Industrial engineering; Information management; Innovation management; Performance analysis; Phase noise; Technology management; Zipf-type analysis; copper future price; price behaviour;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering, 2009 International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-0-7695-3876-1
DOI :
10.1109/ICIII.2009.323
