Comparison on turnovers of agricultural products futures based on wavelet packet transform method

Qingbin Han

School of Marxism, Wuhan University of Technology, 430070, Wuhan, China

In order to distinguish the different patterns and evolving trends on [cleardot] turnovers of agricultural products futures between Zhengzhou Commodity Exchange and Dalian Commodity Exchange. A time-frequency analysis approach, i.e. wavelet packet energy spectrum, is investigated in this paper. Firstly, wavelet packet energy spectrum is briefly introduced. Secondly, two different non-stationary signals of turnover of agricultural products futures from 2009 to 2013 coming from Zhengzhou Commodity Exchange and Dalian Commodity Exchange are described in wavelet packet energy spectrum. First, reconstructed coefficients of main analysis wavelets packet of signals of turnover of agricultural products futures of Zhengzhou commodity exchange and Dalian Commodity Exchange are calculated. The obtained frequency band power ratios are used to show the different characteristics and evolving trends [cleardot]  on [cleardot] turnovers of agricultural products futures between Zhengzhou Commodity Exchange and Dalian Commodity Exchange. With these results, the two signals are distinctly different from each other. It is proved that the technique of wavelet packet energy spectrum is effective for the purpose of distinction of turnover of agricultural products futures in commodity exchanges.