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Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model

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Abstract

This study investigates how the investor structures affect the corn futures price volatility using corn futures and spot price daily data ranging from 5 January 2009 to 31 December 2022. Our contribution to the expanding literature lies in the introduction of an artificial Chinese corn futures market model based on the agent-based model (ABM), which offers an innovative solution to the issue of the unavailability of commercial positions data. Moreover, we improve the prediction accuracy of corn futures prices by the autoregressive neural network (AR-Net) model. The scenario simulation results demonstrate that hedgers can stabilize corn futures prices, and price volatility tends to be more dramatic in structures with a low hedger ratio. In addition, robustness tests by the empirical mode decomposition (EMD) model support the conclusion.

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Data Availability

The datasets generated during and/or analysed during the current study are available from the corresponding author on reasonable request.

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Funding

The authors are grateful to the anonymous referees for their careful revision, valuable suggestions, and comments which improved this paper. This study was supported by The National Social Science Fund of China (Grant numbers [21BJY211]).

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Authors and Affiliations

  1. College of Economics and Management, China Agricultural University, Tsinghua East Road, Haidian District, Beijing, 100083, China

    Yuhe Zhao

  2. Center for Futures and Financial Derivatives Research, China Agricultural University, Tsinghua East Road, Haidian District, Beijing, 100083, China

    Ronghua Ju

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  1. Yuhe Zhao
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Contributions

All authors contributed to the study conception and design. Material preparation, data collection, and analysis were performed by YZ and RJ. The first draft of the manuscript was written by YZ and RJ and all authors commented on previous versions of the manuscript. All authors read and approved the final manuscript.

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Correspondence to Ronghua Ju.

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Zhao, Y., Ju, R. Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model. Comput Econ (2024). https://doi.org/10.1007/s10614-024-10613-5

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