中国铜期货价格的仿射期限结构模型研究

发布时间：2018-06-20 17:28

本文选题：仿射期限结构模型 + 卡尔曼滤波　；参考：《哈尔滨工业大学》2013年硕士论文

【摘要】：2008年股市崩盘之后，中国投资者对证券市场投资提高了警觉，同时也在寻找其他的投资方向。而逐步发展的期货市场以其双向交易、T+0交易、保证金交易等先进的交易制度吸引了大量的投资者。而且期货市场促进现有市场平稳运行，在宏观方面有积极的作用，也受到了政府部门的重视。然而中国期货市场起步较晚，在理论与模型方面比较薄弱，与国外存在一定的差距，以至于投资者与政府缺少可以参考的依据，成为中国期货市场发展的瓶颈。本文首先分析了期货理论，按照理论发展顺序，讨论了持有成本理论、正常交割延期费理论和仓储理论。在这些理论的基础上，本文讨论了影响因素及其相关假设，通过数学推导，建立了一个仿射期限结构模型，并求得了与模型对应的期货定价公式。本文选取沪铜期货合约日结算价格为研究对象，所选取的数据来自上海期货交易所，通过卡尔曼滤波方法和极大似然估计方法，应用Eviews软件对所选取的数据进行实证。实证结果验证了即期价格对数服从均值回复过程更符合中国铜期货市场。与国内常用的三因素模型相比，实证结果表明本文所建立的模型具有较好的拟合能力，而且无论是预测值与实际值的拟合程度，还是日涨跌的判断上，本文所建立的模型具有较强的预测能力，，是适合中国商品市场的期货价格期限结构模型。同时本文也得出风险溢价因子是状态变量的仿射函数符合实际情况的结论，这打破了国内模型研究中对风险溢价为常数的一贯假设，对于国内以后的研究具有一定的参考价值。无论是在理论方面还是现实方面均具有重要意义。
[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.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

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