Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/317646 
Year of Publication: 
2023
Citation: 
[Journal:] Journal of Business Economics and Management (JBEM) [ISSN:] 2029-4433 [Volume:] 24 [Issue:] 4 [Year:] 2023 [Pages:] 712-731
Publisher: 
Vilnius Gediminas Technical University, Vilnius
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.
Subjects: 
coarse-graining method
complex network
intermediate modes
linkage fluctuation
nickel futures price index
positioned modes
time series data
JEL: 
F02
F14
F23
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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