基于价格波动的我国大豆期货市场投资研究

发布时间：2018-04-14 00:06

本文选题：大豆期货 + 基本面分析　；参考：《浙江大学》2013年硕士论文

【摘要】：我国大豆期货合约交易日益活跃,2012年“黄大豆1号”三个主力合约的总成交量就高达600万手。但我国期货投资者缺少系统科学的投资分析能力,不仅大豆期货交易平台的价格机制难以有效发挥,众多投资者也面临亏损退场的境地。本文首先进行了基本面分析,从生产、消费和贸易三个角度对全球大豆的供需现状进行了分析,分析结果显示我国国内大豆供需缺口巨大,对国外市场依赖性强。同时,本文对技术分析在大豆期货投资中的有效性进行了检验,根据技术分析中的趋势型、摆动型、人气型三类技术指标的投资策略编写matlab程序并进行投资绩效检验,结果发现技术指标的价格波动预判结果不佳。为了构建有效的价格波动预测模型,本文通过Granger因果检验筛选变量.检验结果发现芝加哥交易所大豆期货前一期波动值,维持与芝加哥交易所大豆期货价格长期关系的前一期误差修正项,大豆现货前一期波动值,维持与大豆现货价格长期关系的前一期误差修正项,美元指数前一期波动值以及原油期货前一期波动值都能起到优化预测结果。在此基础上,本文分别构建ARMA模型、GARCH模型和Logistic模型并检验每个模型的预测效果。检验结果表明,本文构建的三个模型都能起到预判大豆期货价格波动的功能。
[Abstract]:Soybean futures contracts in China are becoming more and more active. In 2012, the total turnover of the three main contracts of "Yellow Soybean 1" was as high as 6 million hands.However, Chinese futures investors lack systematic and scientific investment analysis ability, not only the price mechanism of soybean futures trading platform is difficult to play effectively, but also many investors are faced with the situation of losing money.In this paper, the present situation of soybean supply and demand in the world is analyzed from the aspects of production, consumption and trade. The results show that there is a huge gap between supply and demand of soybean in China and there is a strong dependence on the foreign market.At the same time, this paper tests the effectiveness of technical analysis in soybean futures investment. According to the investment strategy of trend type, swing type and popular type in technical analysis, the matlab program is compiled and the investment performance is tested.The results show that the price fluctuation of technical indicators is not good.In order to construct an effective price volatility prediction model, Granger causality test is used to screen variables.The test results show that the previous fluctuation value of soybean futures on the Chicago Stock Exchange, the previous period error correction of the long-term relationship with the soybean futures price on the Chicago Exchange, and the fluctuation value of soybean spot in the previous period,Maintaining a long-term relationship with spot soyabean prices in the previous period of error correction, the dollar index before the volatility and crude oil futures in the previous period of volatility can play a role in the optimization of the forecast results.On this basis, the ARMA model and the Logistic model are constructed, respectively, and the prediction results of each model are tested.The results show that the three models can predict the price fluctuation of soybean futures.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F323.7;F724.5;F224

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