發(fā)布時間：2018-01-24 21:20

  本文關鍵詞： 商品期貨 跳躍-擴散模型 MCMC算法　出處：《北方工業(yè)大學》2013年碩士論文　論文類型：學位論文

【摘要】：期貨市場具有價格發(fā)現(xiàn)和套期保值的功能,可有效規(guī)避價格風險。而對于期貨價格變化的研究,有助于市場參與者了解市場方向。我國商品期貨市場不僅具有期貨市場的一般性質,而且還擁有自己的獨特性。本文的主要目的是提出符合我國商品期貨價格變化規(guī)律的定價模型,并驗證模型的定價能力。 文章首先分析了國內外關于商品期貨定價的相關理論,主要模型的產生及發(fā)展過程,為建立我國商品期貨定價模型奠定了基礎。 然后重點分析了我國商品期貨市場價格變化的兩個特點：一是長期受國際商品期貨價格的影響,二是具有跳躍特征,在此基礎上提出了體現(xiàn)我國商品期貨價格變化特點的跳躍-擴散模型。該模型將我國商品期貨的價格變化視為可觀測變量的影響和不可觀測變量之和�？捎^測變量為國際商品期貨價格,不可觀測變量為短期偏離,跳躍特征包含在短期偏離中。 隨后的實證部分以我國棉花、銅和豆粕期貨為例,各選取3個完整期貨合約(時間跨度從2010年1月至2013年1月)用MCMC方法進行參數(shù)估計。數(shù)據(jù)選取每日收盤價序列,運用R軟件和WinBUGS軟件得出參數(shù)的估計結果和跳躍成分的擬合效果。結果顯示：國際商品期貨的價格變化對我國棉花、銅和豆粕期貨的價格變化有顯著的影響；跳躍成分是我國商品期貨價格變化的重要組成部分；本文提出的定價模型能較準確地反映跳躍強度,不論跳躍現(xiàn)象發(fā)生次數(shù)的多寡。 除此之外,文中將此次提出的定價模型與前人提出的定價模型做了對比分析,發(fā)現(xiàn)包含國際商品期貨價格影響因素的跳躍-擴散模型更加符合我國商品期貨價格變化的實際情況,模型的整體擬合效果也較穩(wěn)定。 總而言之,研究我國商品期貨定價問題時,應當考慮到國際商品期貨價格的影響和跳躍特征,這不僅可以較好地解決我國商品期貨的定價問題,而且能夠為下一步提出套期保值策略奠定良好基礎。
[Abstract]:Futures market has the function of price discovery and hedging, which can effectively avoid the price risk. It helps market participants to understand the direction of the market. China's commodity futures market not only has the general nature of the futures market. The main purpose of this paper is to put forward a pricing model which conforms to the law of commodity futures price change in China, and to verify the pricing ability of the model. This paper first analyzes the relevant theories of commodity futures pricing at home and abroad, the emergence and development process of the main models, which lays a foundation for the establishment of commodity futures pricing models in China. Then it focuses on the two characteristics of the price change of the commodity futures market in China: one is influenced by the international commodity futures price for a long time, the other is the characteristic of jumping. On this basis, a jump-diffusion model is proposed, which reflects the characteristics of commodity futures price change in China. The model regards the price change of commodity futures in China as the influence of observable variables and the sum of non-observable variables. The quantity is the international commodity futures price. Non-observable variables are short-term deviations and jump features are included in short-term deviations. Then the empirical part takes China cotton, copper and soybean meal futures as an example. Each of the three complete futures contracts (time span from January 2010 to January 2013) was estimated by MCMC method. The data were selected as the daily closing price sequence. Using R software and WinBUGS software to obtain the parameter estimation results and jump component fitting effect. The results show that: international commodity futures price changes on China's cotton. The price changes of copper and soybean meal futures have significant influence; Jump component is an important part of commodity futures price change in China. The pricing model proposed in this paper can accurately reflect the jump intensity, regardless of the number of jumps. In addition, the paper makes a comparative analysis between the proposed pricing model and the previous pricing model. It is found that the jump-diffusion model, which includes the influencing factors of international commodity futures price, is more in line with the actual situation of commodity futures price change in China, and the overall fitting effect of the model is more stable. In a word, when studying the pricing problem of commodity futures in our country, we should take into account the influence and jump characteristics of international commodity futures prices, which can not only solve the pricing problem of commodity futures in China. And can lay a good foundation for the next step to put forward hedging strategy.
【學位授予單位】：北方工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F724.5

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本文編號：1461048