期货市场涨跌停板幅度设置的模型研究

发布时间：2018-06-07 13:58

本文选题：涨跌停板 + 自履行合约　；参考：《中国管理科学》2010年06期

【摘要】：涨跌停板幅度规定了期货交易中每日价格波动的范围,是涨跌停板制度的核心,过高的停板幅度不利于抑制价格的剧烈波动,过低的停板幅度又会妨碍期货市场价格发现功能的实现。尽管涨跌停板制度已被期货交易所广泛采用,但对如何设置合理的涨跌停板幅度的研究尚不成熟,实用性较差。本文在国内外学者研究的基础上,基于自履行合约理论和极值理论构建期货涨跌停板幅度设置模型。模型通过合约自履行条件下涨跌停板幅度与保证金水平的关系,获得合理的涨跌停板幅度,并应用极值理论修正了以往模型中期货收益率的正态分布假设,提高了实用性。最后,本文应用该模型对我国铜和天然橡胶期货涨跌停板幅度进行了实际测算。
[Abstract]:The range of the daily price fluctuation in futures trading is defined by the range of the daily price fluctuation in futures trading, and it is the core of the price limit system. Too high a limit is not conducive to curbing the sharp fluctuation of prices. Too low the margin of the board will hinder the futures market price discovery function. Although it has been widely used in futures exchanges, the research on how to set up a reasonable limit range is not mature, and the practicability is poor. On the basis of domestic and foreign scholars' research, this paper constructs the range setting model of futures price limit based on self-fulfilling contract theory and extreme value theory. Based on the relationship between the range of limit and margin level under the condition of self-performance of contract, the model obtains a reasonable range of limit. The hypothesis of normal distribution of futures yield in the former model is modified by applying the extreme value theory, and the practicability is improved. Finally, this paper uses the model to calculate the range of futures price of copper and natural rubber in China.
【作者单位】：西安交通大学管理学院;
【基金】：国家自然科学基金资助项目(70941002)
【分类号】：F224;F830.91

【共引文献】