Firstly, we investigate the characters of the price movement about ZHENGZHOU COMMODITY EXCHANGE(ZCE), and get the following results.

• 在期货价格随机波动的框架下,实证的研究结果发现,从收盘价与结算价收益率序列来看,郑州小麦期货市场价格收益率序列是一个随机游走的白噪声过程,价格收益率序列之间不存在相关性,满足市场有效性假设;