文献类型：期刊文献

英文题名：Correlation structure analysis of the global agricultural futures market

作者：Dai, Yun-Shi[1]; Huynh, Ngoc Quang Anh[2]; Zheng, Qing-Huan[1,3]; Zhou, Wei-Xing[1,3,4]

机构：[1] School of Business, East China University of Science and Technology, Shanghai, China; [2] College of Technology and Design, University of Economics Ho Chi Minh City [UEH University], Ho Chi Minh City, Viet Nam; [3] Research Center for Econophysics, East China University of Science and Technology, Shanghai, China; [4] School of Mathematics, East China University of Science and Technology, Shanghai, China

年份：2023

外文期刊名：arXiv

收录：EI(收录号：20230393812)

语种：英文

外文关键词：Agriculture - Commerce - Eigenvalues and eigenfunctions - Investments - Matrix algebra - Random variables

摘要：This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020. It is found that the distribution of correlation coefficients is asymmetric and right skewed, and many eigenvalues of the correlation matrix deviate from the RMT prediction. The largest eigenvalue reflects a collective market effect common to all agricultural futures, the other largest deviating eigenvalues can be implemented to identify futures groups, and there are modular structures based on regional properties or agricultural commodities among the significant participants of their corresponding eigenvectors. Except for the smallest eigenvalue, other smallest deviating eigenvalues represent the agricultural futures pairs with highest correlations. This paper can be of reference and significance for using agricultural futures to manage risk and optimize asset allocation. ? 2023, CC BY-NC-ND.