基于CEEMD的重大事件对香港住宅价格影响的实证分析

应用互补集成经验模态分解（CEEMD）方法对香港1997―2018年的住宅价格月度数据进行了分解，将经过重构后的数据分成高频序列、低频序列与残差项。将BP多断点检测应用于低频序列，并结合样本时段内的重大事件进行实证分析。结果表明：1997年亚洲金融风暴对房价的影响大于2008年金融危机；外部经济体的救市政策间接地影响香港房价；在经济不景气的大环境下“孙九招”政策没有立即见效；资本投资者入境计划、住房供给调整与按揭贷款调整对房价的影响较为显著；税收调整对房价影响不显著、对交易量影响显著；SARS爆发使住宅价格下降约1%。     

基于时变SJC-Copula对商品期货市场间风险传染的探究

分别选取WIND商品指数和CRB指数作为衡量我国商品期货市场及国际商品期货市场综合价格的指标,利用时变SJC-Copula模型构建两者之间的动态相依结构,通过动态的尾部相关系数来探究我国商品期货市场与国际市场间的尾部相关性.实证结果表明,我国商品期货市场与国际市场间的上尾相关性要强于下尾相关性,即当商品期货价格上涨时,两个市场间更易发生风险传染.     

中国国债期货与隐含择券期权定价

本文提出了一种双树拼接的改进BDT模型,在此基础上发展出两种方法为中国市场上的国债期货和择券期权定价。其中"直接定价法"直接使用双树拼接树图,"两步定价法"则是经期权调整的持有成本模型。对中国TF1403和T1603国债期货合约的实证研究表明,两种方法都是合理的,且各有优势,"两步定价法"与市场价格差异较小,"直接定价法"与市场价格同步性较高。     

A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures

The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modelling and pricing. Some particularities of this product are the strong seasonal component embedded in the underlying, the fact that the wind index is bounded from both above and below and also that the futures are settled against a synthetically generated spot index. Here, we consider the non-Gaussian Ornstein–Uhlenbeck type processes proposed by Barndorff-Nielsen and Shephard in the context of modelling the wind power production index. We discuss the properties of the model and estimation of the model parameters. Further, the model allows for an analytical formula for pricing wind power futures. We provide an empirical study, where the model is calibrated to 37 years of German wind power production index that is synthetically generated assuming a constant level of installed capacity. Also, based on 1 year of observed prices for wind power futures with different delivery periods, we study the market price of risk. Generally, we find a negative risk premium whose magnitude decreases as the length of the delivery period increases. To further demonstrate the benefits of our proposed model, we address the pricing of European options written on wind power futures, which can be achieved through Fourier techniques.     

Modelling day‐ahead electricity prices

A production‐based approach is introduced to take into account different attitudes and liabilities of market participants to discuss the equilibrium day‐ahead prices on electricity. Conditions ensuring the existence of the equilibrium are given and price distribution is considered. A discussion of reasons for high price volatility is given.     

我国铝期货、铝现货与废铝价格动态关系的实证研究

利用Johansen协整检验、Granger因果检验以及向量误差修正(VEC)模型、脉冲响应分析和方差分解分析,从三个不同的角度对我国铝期货、铝现货和废铝市场价格间的动态关系进行了实证分析,研究结果表明:从引导关系看,铝期货价格与铝现货价格之间具有协整关系,并且铝期货价格对铝现货价格及废铝价格具有单向价格引导关系,铝现货价格对废铝价格具有单向价格引导关系;从冲击反应看,铝期货对铝现货的冲击比较强烈,而铝期货对废铝以及铝现货对废铝的冲击相对比较和缓;从价格发现程度看,铝期货市场具有最强的价格发现能力,铝现货价格发现能力次之,废铝的价格发现能力最弱,表明铝期货是价格发现过程的主要驱动力量.     

中美燃料油期货价格引导研究

本文利用ADF单整检验、EG协整检验、误差修正模型、引导关系检验等方法研究中美燃料油期货价格之间的互动关系,结果表明:我国燃料油期货在价格和价格收益方面均与国际燃料油市场存在明显的即时引导关系;国际燃料油期货市场上的价格变动对国内燃料油期货价格以及价格收益的变动具有单向的滞后引导作用;我国燃料油期货市场的价格和收益方面的信息对于国际市场几乎不产生影响,我国尚不具备制定价格的话语权。     

Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence

Commodity futures have long been used to facilitate risk management and inventory stabilization. The study of commodity futures prices has attracted much attention in the literature because they are highly volatile and because commodities represent a large proportion of the export value in many developing countries. Previous research has found apparently contradictory findings about the presence of long memory or more generally, long-range dependence. This note investigates the nature of long-range dependence in the volatility of 14 energy and agricultural commodity futures price series using the improved Hurst coefficient (H) estimator of Abry, Teyssière and Veitch. This estimator is motivated by the ability of wavelets to detect self-similarity and also enables a test for the stability of H. The results show evidence of long-range dependence for all 14 commodities and of a non-stationary H for 9 of 14 commodities.     

期货价格预测——反向传播神经网络模型

利用神经网络的 BP算法 ,对较难解决的期货价格问题做了一些研究 ,获得了一定的成功 .     

ANALYSIS OF FINANCIAL DERIVATIVES BY MECHANICAL METHOD (Ⅰ)—BASIC EQUATION OF PRICE OF INDEX FUTURES

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