Study on the nonlinear characteristics of metal minerals market price discovery

The price discovery of the futures market is a kind of effective pricing method in the mineral products trade.The research on the linear characteristics between the futures price and the spot price is very mature.However，the existing studies do not consider the nonlinear relationship.In this paper，cointegration test and nonlinear Granger causality test are used to study the relationship between metal ore futures price and spot price.The main draw the following conclusions：first，there is a long-term equilibrium relationship between the futures price and spot price；second，when the futures market demand，the market price will produce futures premium (cash premium)，and vice versa；third，the market price discovery function of metal mineral products has nonlinear characteristics；fourth，main reasons of nonlinear transfer is the nonlinear transmission and the interest rate market commodity storage cost and time of the nonlinear relationship between the metal mineral products prices.