Analysis of linkage fluctuation in time series data of nickel futures price index

Chen, Xiaoci; Huo, Guanyu; Cao, Gaojie

Abstract

This paper explores the variation pattern of nickel futures prices using the daily closing levels of the nickel futures price index of the London Futures Exchange and the Shanghai Futures Exchange. The data coarse-graining method is employed to transform the continuous time series data of price index changes into symbols {P, N, M}, which are slid through continuous windows to form the modalities of price index linkage fluctuations. By treating the modalities as nodes and the transformations between them as edges, a weighted directed complex network is constructed to represent the linked volatility of the LME and SHFE nickel futures indices time series. The complex network is applied to analyse the network characteristics and obtain the inner pattern of the linked fluctuations. The results show that the complex network of time series linked volatility of the LME and SHFE nickel futures indices exhibits a power-law nature, with closely linked subgroups formed within it. And the mode transitions within these subgroups follow certain patterns. This paper also identifies core positioned modes and important intermediate modes that reflect the dynamics of nickel prices in reality. The method presented in this paper may be extended to related fields and has good applicability.

Citation

Chen, X., Huo, G., & Cao, G. (2023). Analysis of linkage fluctuation in time series data of nickel futures price index. Journal of Business Economics & Management, 24(4), 712-731. https://doi.org/10.3846/jbem.2023.20191

• Journal Article Type: Article
• Acceptance Date: Aug 21, 2023
• Online Publication Date: Nov 8, 2023
• Publication Date: Nov 8, 2023
• Deposit Date: Feb 21, 2024
• Publicly Available Date: Feb 21, 2024
• Journal: Journal of Business Economics and Management
• Print ISSN: 1611-1699
• Electronic ISSN: 2029-4433
• Publisher: Vilnius Gediminas Technical University Press
• Peer Reviewed: Peer Reviewed
• Volume: 24
• Issue: 4
• Pages: 712-731
• DOI: https://doi.org/10.3846/jbem.2023.20191
• Keywords: Economics and Econometrics; Business, Management and Accounting (miscellaneous)
• Public URL: https://durham-repository.worktribe.com/output/2271685