Nonlinear dynamical analysis of metal futures price fluctuations: a recurrence quantification analysis approach

Xiaotian Sun, Wei Fang, Xiangyun Gao, Sufang An, Tao Wu and Shuai Ren

Applied Economics, 2023, vol. 55, issue 10, 1142-1155

Abstract: Metal futures markets are complex systems which generally show nonstationary and complex behaviours. However, the characteristics behind these complex processes can be uncovered by exploring their prices fluctuations. This paper identified the deterministic states and measured the complexity of these six metal futures prices based on recurrence plots. The results show that the prices fluctuations characteristics of the five metals, except for Copper, were significantly different around April 2008. The average time for prices to maintain similar fluctuations for each metal is roughly within 15 days. We further used entropy indicator to quantify the complexity of metal prices systems and the sliding window method to identify time-varying features of complexity. After 2013, all these metal futures systems show higher complexity behaviours than before. Moreover, when the entropy indicator is at a high value, these metal prices are likely to change significantly.

Date: 2023
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DOI: 10.1080/00036846.2022.2096864

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