中国玉米期货市场价格预测问题研究

发布时间：2018-06-12 23:44

本文选题：玉米期货价格 + 价格功能　；参考：《东北财经大学》2016年硕士论文

【摘要】：期货交易是在单一现货远期合约交易不再适应现代商品经济发展的基础上应运而生。自2011年以来,全球经济处于下行阶段,经济的发展处在一个动荡的环境中,期货作为价格发现和规避风险的重要金融工具,对经济发展的重要性不言而喻。2016年最新出台的中央一号文件再一次将农产品期货摆在了显著的位置。我国作为一个农业大国,农业的发展关系着整个国家的民生大计,研究和调整农业经济发展一直是我国经济发展的重中之重。玉米作为经济发展中重要的粮食作物、饲料原料和深加工原料,是我国生产量最大、消费量最多、上市时间最长的农产品,同时也是全球较活跃的农产品期货品种。由于国家一系列加强农业生产政策的落实以及畜牧业发展的拉动,玉米的需求量一直在持续增长,这是本文选取玉米期货品种进行研究的主要原因。学者们对期货市场的研究活动,从目前所取得的研究成果上看,主要集中于期货市场有效性研究、期货市场价格发现功能研究、期货市场套期保值研究、期货市场风险溢价研究以及期货市场价格预测研究等几个方面。这些研究成果已经比较深入,并普遍具备较强的针对性和可操作性。如果说还存在疏漏或缺欠的话,那就是在期货市场整体性功能研究上还有待补充完善。本文拟将期货市场有效性、期货市场价格发现功能以及期货市场的价格预测结合起来,进行关联性研究,以期有助于了解期货市场发展方向,对期货市场发展的风险有一个提前预知并调整现货市场资源分配,减少因价格的不利变动而引起的价格风险。期货市场的价格预测实际上是期货市场价格功能的一个特性,是基于大量过去的和当前可获得的期货价格和现货价格,经过一定的数据处理与变换,运用相应的预测模型对未来期货价格的一个合理预测。因期货的价格预测在期货市场中的重要作用,所以本文在对期货市场有效性、期货市场价格发现以及期货市场的价格预测进行关联性分析的基础上,着重对期货市场的价格预测进行深入分析,进而完善本篇论文。本文的研究过程:第一步,在查找玉米期现货市场相关资料的基础上,论述了玉米期货市场和玉米现货市场的发展现状以及期货市场的相关理论。第二步,选取2011年1月6日至2016年6月30日大连商品交易所历史交易数据中的玉米期货主力合约的周收盘价和全国粮油价格监测系统中全国玉米现货的周平均价,经过相应数据处理,应用平稳性检验、Johansen协整检验、Granger因果检验等对玉米期货市场有效性和玉米期货市场价格发现功能进行实证分析。分析结果表明,玉米期货市场是弱式有效的,且玉米期货价格在价格发现功能中处于主导地位。第三步,为了对玉米期货价格数据的未来值进行预测,对其进行状态空间模型检验,将检验结果与需经过差分处理才能使时间数据变成平稳的ARIMA模型的检验结果进行比较,证明了起源于工程控制领域的状态空间模型的预测结果要比广泛应用于时间数据预测领域的ARIMA模型的预测结果更加精准。在文章的结尾部分总结全文,先强调了状态空间模型比应用较深入的ARIMA模型的预测结果更加精准,再结合状态空间模型预测结果的相对误差在2%左右,说明状态空间模型的预测值与真实值的偏离在合理区间内,但相对的偏差依然很大,究其根本原因是期现货市场发展的不完善。针对上述问题就大力发展玉米现货市场、完善期货市场监管方式、加强信息披露、减少政府干预、放宽市场准入机制等角度提出了发展和完善我国期货市场的政策建议。
[Abstract]:Futures trading comes into being on the basis of a single spot trading no longer adapts to the development of modern commodity economy. Since 2011, the global economy is in a downward phase. The development of the economy is in a turbulent environment. Futures are the important financial instruments to find and avoid risks, and the importance of economic development is not said. As a big agricultural country, the development of agriculture is related to the livelihood of the whole country. The research and adjustment of agricultural economic development has been the most important of the economic development of our country. Corn is the important grain in economic development. Food crops, feed raw materials and deep processed raw materials are the largest agricultural products in China, the largest consumption amount and the longest time in the market. At the same time, it is also the most active agricultural product futures in the world. As a result of the implementation of a series of policies on agricultural production and the development of animal husbandry, the demand for corn has been growing continuously, this is this The main reasons for the research are the selection of maize futures. The research activities of futures market are mainly focused on the research of futures market effectiveness, the price discovery function of futures market, the study of futures market hedging, the risk premium of futures market and the futures market price. The results of these studies have been more thorough and have strong pertinence and maneuverability. If there is still omission or absence, it is still to be perfected in the study of the overall function of the futures market. This paper intends to make the futures market effective, the futures market price discovery function and the function of the futures market. The price prediction of the futures market is combined to carry out the relevance study in order to help understand the direction of the futures market development, to predict the risk of the future market development and to adjust the distribution of the spot market resources in advance and to reduce the price risk caused by the adverse changes in the price. The futures market price prediction is actually the futures market. A characteristic of price function is based on a large number of past and current available futures and spot prices, after a certain number of data processing and transformation, a reasonable prediction of future futures prices by using the corresponding prediction model. Because of the important role of futures price prediction in the futures market, this article is in the futures market. On the basis of the relevance analysis of the futures market price discovery and the futures market price prediction, the paper focuses on the in-depth analysis of the price prediction of the futures market, and then perfected this paper. The first step, on the basis of looking up the material of the corn market, discusses the corn futures market and the jade. The development status of the rice spot market and the related theory of the futures market. The second step is to select the weekly closing price of the main contract of maize futures in the historical transaction data of the Dalian Mercantile Exchange from January 6, 2011 to June 30, 2016 and the national corn and oil price monitoring system in the national grain and oil price monitoring system in the national grain and oil price monitoring system. The application of the second step is to deal with the corresponding data. The validity of corn futures market and the price discovery function of corn futures market are analyzed by Johansen cointegration test and Granger causality test. The results show that the corn futures market is weak and effective, and the price of corn futures is in the dominant position in the price discovery function. The third step is for corn futures. The future value of the price data is predicted and the state space model is tested. The results are compared with the result of the difference processing to make the time data turned into a stable ARIMA model. It is proved that the prediction results of the state space model originated in the field of engineering control are more widely used than the time data prediction. The prediction results of the ARIMA model in the field are more accurate. At the end of the article, the full text is summed up. First, it is emphasized that the state space model is more accurate than the ARIMA model which is used in depth. The relative error of the prediction result of the state space model is about 2%, and the deviation of the prediction value from the real value of the state space model is explained. In the reasonable interval, the relative deviation is still very large, the fundamental reason is the imperfect spot market development. In view of the above problems, the development and improvement of the futures market in China are put forward by developing the spot market of corn, perfecting the supervision mode of the futures market, strengthening the information disclosure, reducing the government intervention and relaxing the market penetration mechanism. The policy recommendations of the field.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F323.7;F724.5

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