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The Catastrophe Analysis of Shanghai Crude Oil Futures Price from the Perspective of Volatility Factors

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  • Weifeng Gong
  • Yahui Li
  • Chuanhui Wang
  • Haixia Zhang
  • Zhengjie Zhai

Abstract

The volatility of Shanghai crude oil futures prices is researched in this paper. The cusp catastrophe analysis of Shanghai crude oil futures price is based on the perspective of volatility influencing factors. Some important factors are selected based on commodity attributes and financial attributes, including certain China’s macrofactors, such as producer price index and macroeconomic prosperity index. The principal component analysis is used to process the factors. The control variables of the cusp catastrophe model are extracted. The discriminant of the cusp catastrophe model and the principal component analysis are combined to determine the month of mutation. The three‐dimensional renderings and plane projections of Shanghai crude oil futures price mutations in 2018 and 2019 are presented. The model is tested by comparing the time points of price sudden change nodes and emergencies. The results show that only nine factors can be used to roughly determine whether the Shanghai crude oil futures price has a sudden change. During the analysis period, the mutation months are May 2018, December 2018, February 2019, June 2019, and September 2019. It can be proved that the established model has certain feasibility and accuracy.

Suggested Citation

  • Weifeng Gong & Yahui Li & Chuanhui Wang & Haixia Zhang & Zhengjie Zhai, 2022. "The Catastrophe Analysis of Shanghai Crude Oil Futures Price from the Perspective of Volatility Factors," Complexity, John Wiley & Sons, vol. 2022(1).
    • Handle: RePEc:wly:complx:v:2022:y:2022:i:1:n:5367693
    DOI: 10.1155/2022/5367693
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    2. Ewing, Bradley T. & Malik, Farooq, 2013. "Volatility transmission between gold and oil futures under structural breaks," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 113-121.
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