中文摘要：

基于投资者对期货市场信息反应的非对称性,本文运用非对称消除趋势波动分析法,以玉米、豆粕、强麦和棉花为研究对象,研究我国农产品期货价格对数收益率序列上升和下降趋势的状态特征。结果表明,收益率序列上升和下降趋势具有非对称性,上升和下降趋势的农产品价格对数收益率序列均具有分形特征。同时,运用多重分形消除趋势波动分析法和多重分形谱分析法,研究我国农产品期货日收盘价对数收益率的结构特征。结果表明,农产品价格收益率序列具有多重分形特征,强麦、棉花、玉米、豆粕的多重分形强度依次减弱,意味着相应期货产品的投资风险逐步降低。

英文摘要：

Based on the asymmetry reaction of investors to the futures market information,taking the strong corn,soybean meal,wheat and cotton as the research objects,this paper uses asymmetric detrended fluctuation analysis method to analyze the state characteristics of returns time series with rising and falling trends of the logarithmic returns series of agricultural products futures prices in China. The results show that the rising and falling trends of the series are asymmetry,and both rising and falling trends have fractal characteristics. At the same time,we use multifractal detrended fluctuation analysis and multifractal spectrum analysis methods to study the structure characteristics of the logarithm returns series of agricultural products futures daily closing prices. The results show that the returns series have multifractal characteristics,the multifractal strengths of wheat,cotton,corn and soybean meal are decreasing in turn,meaning that the risks of investment of the corresponding futures products are also decreasing.