基于VaR的SPAN系统在我国股指期货保证金中的应用研究

基于我国股指期货的真实数据,灵活运用参数VaR模型,蒙特卡罗方法和Copula技术,给出了SPAN系统应用在中国股指期货保证金上的详细步骤以及具有中国特色的参数设置方法,解决了股指期货推出初期SPAN系统中有关参数设置问题这一技术障碍.实证结果显示,我国股指期货合约所需保证金均低于当前国内股指期货保证金水平,应该改进保证金模式、降低保证金水平.     

基于蒙特卡罗模拟的上海铜期货保证金研究

基于VaR技术的保证金计算方法被视为保证金制度发展的趋势,蒙特卡罗模拟则被用来解决传统VaR模型对价格波动极端状况时的低估问题。根据基于蒙特卡罗模拟的保证金算法对上海期货交易所铜期货保证金水平的实证结果,模拟的保证金算法能够适应铜期货合约风险管理的需求,保证金水平反映了市场风险状况,也有效的降低了投资者交易成本。铜期货合约现行静态保证金收取方式亟需改进,5%保证金比例总体偏高,但在市场剧烈波动时又略显不足。综合考虑反馈检验,投资者交易成本,以及模型的计算时间,EGARCH-T是最佳的铜期货保证金模拟算法。     

基于GARCH类模型-POT的股指期货保证金水平设置

由于股指期货持有空头头寸的投资者面临的风险明显高于持有多头头寸的投资者,因此应该对股指期货保证金分多头和空头分别设置.鉴于我国正处于推出金融衍生产品的探索阶段,交易的安全性和稳定性最为关键.本文通过分析研究,结合中金所设置股指期货保证金水平的做法,选取违约概率为0.001时保证金水平,将沪深300股指期货合约的保证金水平设置区间分别确定为:全尾[9.75%,12.48%]、多头[7.53%,8.57%]、空头[9.5%,13.31%].为了减小违约概率,建议中国金融期货交易所将沪深300股指期货的保证金设置水平调整为14%-16%的水平.     

大连商品交易所大豆一号合约动态保证金研究

大连商品交易所大豆一号期货合约长期实行静态的保证金制度,但在国际期货市场中动态保证金制度是未来的发展趋势。国内目前缺乏对于大豆期货保证金制度的深入研究,在估计期货收益波动率时也没有使用滚动测算的思想。从基于GARCH和EGARCH两种模型、T分布和NORMAL两种分布假设的四种保证金设定方法,以及大豆一号合约收益数据的实证结果来看,大豆一号现行的静态保证金制度已不适应市场发展,保证金比例总体偏高,但在市场剧烈波动时又略显不足,综合考虑准确性和效率,以及投资者的交易成本EGARCH-T是最佳的保证金计算方法。     

基于博弈论的融资租赁保证金确定方法研究

针对融资租赁中租金偿还违约风险的防范问题,研究了如何合理设置租赁保证金来防范违约风险.运用博弈理论建立了租金偿还的动态博弈模型,采用逆向归纳法求解该博弈模型并推导出了预防性保证金确定方法及其适用条件,通过边界条件的改变继而推导出了补偿性保证金确定方法及其适用条件.算例分析表明,运用两种方法来计算租赁保证金时,只需已知租赁项目各期租金和租赁资产的价值而无需知道租赁项目的各期收益,仅以出租人预期租赁项目在各期的收益与租金之间的大小作为判据来选择保证金确定方法.两种保证金确定方法具有较高的实用性和可操作性,是出租人合理地确定租赁保证金的有效方法.     

基于R-藤结构的pair-copula模型在交叉保证金设置上的应用研究

在实行交叉保证金制度的基础上,提出了R-藤结构下的pair-copula方法来解决多期货品种组合的保证金设置问题.R-藤结构变化灵活,为解决高维度联合分布的估计提供了一种新思路.实证结果表明,R-藤结构下的高维pa江copula模型能够满足实际风险覆盖要求,同时通过品种组合之间盈亏部分的对冲来降低客户结算账户的保证金需求,这将有助于提高市场交易的活跃性.     

对中国期货机构投资者锚定启发式偏差的实证研究

本运用行为金融学的理论，通过对期货投资情绪变化和历史投资收益率进行回归分析，检验了中国期货经纪公司这类机构投资是否存在锚定启发式偏差。经过分析，得出了中国期货机构投资具有锚定启发式偏差的结论。     

基于加权ES模型对利率期货每日结算风险研究

2012年2月13日中国金融期货交易所的国债期货仿真交易启动,标志着国内重启利率期货已经迈出实质性步伐.利率期货是一种以国债为标的物的金融衍生产品,它的推出将给债券投资者提供更有力的对冲利率风险的工具.以加权ES模型研究利率期货的风险度量和保证金制度.     

多周期多产品采购量分配优化模型

为了解决随机需求与价格折扣并存条件下的多周期多产品采购量分配问题,建立了相应的多目标混合整数随机规划模型.该模型的特点是:①模型的约束条件中兼具确定性和随机性;②通过累计需求和累计采购量表示多周期的库存持有成本;③通过约束条件方程式准确地表现随机需求和价格折扣两大假设条件.针对该模型的特殊结构,提出了一种适用的求解策略:首先,通过把机会约束转化为确定性等价类,从而将多目标混合整数随机规划模型转化为确定型多目标混合整数规划模型;然后,采用目标规划法求得问题的满意解.此外,通过应用算例说明了模型的有效性和可行性.     

区间二次双层规划的最好最优解

双层规划问题是一类具有递阶结构的优化问题.在不确定的双层规划优化问题中,目标函数系数或约束条件系数为区间数的双层规划模型在实际问题中有着广泛的应用.在二次-线性双层规划模型的基础上,提出了上、下层目标函数以及约束条件系数均具有区间系数的二次-线性双层规划模型,给出了求解其最好最优解的方法.首先,通过选取约束条件中不同的基矩阵,求得区间二次-线性双层规划的可能最优解.再比较求得的全部可能最优解,便可得到区间二次-线性双层规划模型的最好最优解.最后给出数值算例验证该方法的有效性.     

Valuation of futures options with initial margin requirements and daily price limit

The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.     

Pricing and clearing combinatorial markets with singleton and swap orders

In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing. The results are presented in the context of our main application: the futures opening auction problem. Futures contracts are an important tool to mitigate market risk and counterparty credit risk. In futures markets these contracts can be traded with varying expiration dates and underlyings. A common hedging strategy is to roll positions forward into the next expiration date, however this strategy comes with significant operational risk. To address this risk, exchanges started to offer so-called futures contract combinations, which allow the traders for swapping two futures contracts with different expiration dates or for swapping two futures contracts with different underlyings. In theory, the price is in both cases the difference of the two involved futures contracts. However, in particular in the opening auctions price inefficiencies often occur due to suboptimal clearing, leading to potential arbitrage opportunities. We present a minimum cost flow formulation of the futures opening auction problem that guarantees consistent prices. The core ideas are to model orders as arcs in a network, to enforce the equilibrium conditions with the help of two hierarchical objectives, and to combine these objectives into a single weighted objective while preserving the price information of dual optimal solutions. The resulting optimization problem can be solved in polynomial time and computational tests establish an empirical performance suitable for production environments.     

A margin scheme that advises on when to change required margin

The purpose of a margin requirement is to protect a clearinghouse from members’ defaults resulting from big losses due to adverse movement of futures prices. To decide on how much a margin is required, a clearinghouse may refer to a benchmark margin defined as a constant multiple of the forecasted volatility. However, a benchmark margin only advises on a desirable margin level. It gives no advice on whether a clearinghouse should alter existing required margin. This paper proposes a margin scheme that can advise on when to change the required margin and if a change is recommended, to what level it should be changed. The proposed margin scheme can be devised so that the coverage probability and change frequency are controlled at target levels deemed appropriate by the clearinghouse. The proposed margin scheme needs a volatility forecast as input. This paper shows that among a large number of volatility forecasts, implied volatility gives the best results. This confirms a conjecture that implied volatility may have more information content than other volatility forecasts as far as margin setting is concerned.     

多大户期货市场博弈分析

本是对存在多个大户的期货市场的博弈分析，讨论了大户和散户的博弈行为，得出在完全信息和不完全信息条件下的博弈情况及其均衡，为期货市场的大户在复杂情况下选择投资行为提供新的思路。     

基于二次优化BP神经网络的期货价格预测

针对BP算法存在的不足,结合神经网络、遗传算法和主成分分析的优点,提出基于二次优化BP神经网络的期货价格预测算法.初次优化采用主成分分析法对网络结构进行优化,第二次优化采用自适应遗传算法对网络参数进行优化,将经过二次优化后建立的BP神经网络模型用于期货价格预测.经仿真检验,用新方法建立的模型对期货价格进行预测,在预测的精度和速度方面都优于单纯BP神经网络模型.     

一种考虑中介交易态度的买卖双边匹配决策方法

电子中介的出现,为商品交易提供新的交易平台。本文以基于电子中介下的商品交易为背景,研究了考虑不同中介交易态度的买卖双边匹配决策问题。首先,给出买卖双边匹配决策问题的描述,然后,根据牟利型、服务型和折中型等3种交易态度中介的特点,以最大化匹配对价值、交易价格和达成度等为目标,分别建立了3种中介下的买卖双边匹配模型。进一步地,通过求解上述模型确定双边买卖匹配决策的结果。最后,通过一个实例分析说明出方法的有效性和可行性。本文进一步完善了买卖双边匹配的决策方法,具有实际应用价值。     

The new interpretation of support vector machines on statistical learning theory

This paper is concerned with the theoretical foundation of support vector machines (SVMs). The purpose is to develop further an exact relationship between SVMs and the statistical learning theory (SLT). As a representative, the standard C-support vector classification (C-SVC) is considered here. More precisely, we show that the decision function obtained by C-SVC is just one of the decision functions obtained by solving the optimization problem derived directly from the structural risk minimization principl...     

期货合约的简单创新

本文通过观察代办收入最大化交换,提出期货合约创新的一个简单两阶段模型. 经济代理商具有均值-方差偏好,按代理买卖量的大小,在期货合约过程中收取交易费用.期货交易过程中存在价差.代办收入最大化交换促成期货合约的创新.     

Global optimization of a quadratic functional with quadratic equality constraints

In this paper, we investigate a constrained optimization problem with a quadratic cost functional and two quadratic equality constraints. While it is obvious that, for a nonempty constraint set, there exists a global minimum cost, a method to determine if a given local solution yields the global minimum cost has not been established. We develop a necessary and sufficient condition that will guarantee that solutions of the optimization problem yield the global minimum cost. This constrained optimization problem occurs naturally in the computation of the phase margin for multivariable control systems. Our results guarantee that numerical routines can be developed that will converge to the global solution for the phase margin.     

带有风险价值的最优期货套期保值策略

本文研究了带有风险价值约束的期货套期保值优化问题.用最优化方法获得了套期保值策略的存在性、求解模型的增广拉格朗日算法及其收敛性.文中的结果推广了期货收益率服从正态分布的单变量套期保值策略的研究,表现为用服从椭圆分布的随机变量刻画市场风险因子的厚尾特征、用风险价值控制套期保值的风险、构建了均值-VaR组合套期保值理论模型并给出了求解算法.