本文選題：仿射期限結(jié)構(gòu)模型 + 卡爾曼濾波　； 參考：《哈爾濱工業(yè)大學(xué)》2013年碩士論文

【摘要】：2008年股市崩盤之后，中國投資者對(duì)證券市場(chǎng)投資提高了警覺，同時(shí)也在尋找其他的投資方向。而逐步發(fā)展的期貨市場(chǎng)以其雙向交易、T+0交易、保證金交易等先進(jìn)的交易制度吸引了大量的投資者。而且期貨市場(chǎng)促進(jìn)現(xiàn)有市場(chǎng)平穩(wěn)運(yùn)行，在宏觀方面有積極的作用，也受到了政府部門的重視。然而中國期貨市場(chǎng)起步較晚，在理論與模型方面比較薄弱，與國外存在一定的差距，以至于投資者與政府缺少可以參考的依據(jù)，成為中國期貨市場(chǎng)發(fā)展的瓶頸。 本文首先分析了期貨理論，按照理論發(fā)展順序，討論了持有成本理論、正常交割延期費(fèi)理論和倉儲(chǔ)理論。在這些理論的基礎(chǔ)上，本文討論了影響因素及其相關(guān)假設(shè)，通過數(shù)學(xué)推導(dǎo)，建立了一個(gè)仿射期限結(jié)構(gòu)模型，并求得了與模型對(duì)應(yīng)的期貨定價(jià)公式。 本文選取滬銅期貨合約日結(jié)算價(jià)格為研究對(duì)象，所選取的數(shù)據(jù)來自上海期貨交易所，通過卡爾曼濾波方法和極大似然估計(jì)方法，應(yīng)用Eviews軟件對(duì)所選取的數(shù)據(jù)進(jìn)行實(shí)證。實(shí)證結(jié)果驗(yàn)證了即期價(jià)格對(duì)數(shù)服從均值回復(fù)過程更符合中國銅期貨市場(chǎng)。與國內(nèi)常用的三因素模型相比，實(shí)證結(jié)果表明本文所建立的模型具有較好的擬合能力，而且無論是預(yù)測(cè)值與實(shí)際值的擬合程度，還是日漲跌的判斷上，本文所建立的模型具有較強(qiáng)的預(yù)測(cè)能力，，是適合中國商品市場(chǎng)的期貨價(jià)格期限結(jié)構(gòu)模型。同時(shí)本文也得出風(fēng)險(xiǎn)溢價(jià)因子是狀態(tài)變量的仿射函數(shù)符合實(shí)際情況的結(jié)論，這打破了國內(nèi)模型研究中對(duì)風(fēng)險(xiǎn)溢價(jià)為常數(shù)的一貫假設(shè)，對(duì)于國內(nèi)以后的研究具有一定的參考價(jià)值。無論是在理論方面還是現(xiàn)實(shí)方面均具有重要意義。
[Abstract]:After the 2008 stock market crash, Chinese investors were wary of investing in the securities market and looking for other directions. The developed futures market attracts a large number of investors with its advanced trading systems such as two-way trading, margin trading and so on. Moreover, the futures market promotes the smooth operation of the existing market, plays a positive role in macro-level, and has been attached importance to by the government. However, China's futures market starts relatively late, is weak in theory and model, and there is a certain gap with foreign countries, so that investors and governments lack the basis for reference, which has become the bottleneck of the development of China's futures market. Firstly, this paper analyzes the futures theory, discusses the holding cost theory, the normal delivery extension fee theory and the warehousing theory according to the theoretical development order. On the basis of these theories, this paper discusses the influencing factors and their related hypotheses, establishes an affine term structure model by mathematical derivation, and obtains the corresponding futures pricing formula. In this paper, the daily settlement price of Shanghai copper futures contract is chosen as the research object. The selected data come from Shanghai Futures Exchange. The Eviews software is used to demonstrate the selected data by using Kalman filter and maximum likelihood estimation method. The empirical results verify that the logarithmic recovery process of spot price is more in line with the Chinese copper futures market. Compared with the three-factor model commonly used in China, the empirical results show that the model established in this paper has better fitting ability, and whether it is the degree of fitting between the predicted value and the actual value, or the judgment of daily fluctuation. The model established in this paper has strong predictive ability and is a futures price term structure model suitable for China's commodity market. At the same time, the conclusion that the risk premium factor is the affine function of the state variable accords with the actual situation, which breaks the consistent hypothesis that the risk premium is constant in the domestic model research, and has certain reference value for the future research in our country. Both in theory and in reality are of great significance.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F724.5

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本文編號(hào)：2045096