Causal analysis of futures sugar prices in Zhengzhou

In this paper, we are interested in investigating the causal relationships among futures sugar prices in the Zhengzhou futures exchange market (ZF), the spot sugar prices in Zhengzhou (ZS) and the futures sugar prices in New York futures exchange market (NF). A useful tool called Bayesian network is introduced to analyze the problem. Since there are only three variables in our Bayesian network, the algorithm is straightforward: we display all the 25 possible network structures and adopt certain scoring metrics to evaluate them. We applied five different scoring metrics in total. Firstly, for each metric, we obtained 24 scores, each calculated from one of the 24 possible structures i.e. a Directed Acyclic Graph (DAG). Then we eliminated the network structure which represents the independence of the three variables according to our prior knowledge concerning the futures sugar market. After that, the optimal network structure which implies the causal relationships was selected according to the corresponding scoring metric. Finally, after comparing the results from different scoring metrics, we obtained the relatively affirmative conclusion that ZS causes ZF from both the Bayesian Dirichlet (BD) metric, Bayesian Dirichlet-Akaike Information Criterion (BD-AIC) metric, Bayesian Dirichlet-Bayesian Information Criterion (BD-BIC) metric and Bayesian Information Criterion (BIC) metric. The conclusions that NF causes ZF and ZF causes ZS from the Akaike Information Criterion (AIC) metric and ZF causes ZS from the BIC metric were useful and significant to our investigation.     

Learning dynamic causal relationships among sugar prices

In this paper, we are interested in exploring the dynamic causal relationships among two sets of three variables in different quarters. One set is futures sugar closing price in Zhengzhou futures exchange market (ZC), spot sugar price in Zhengzhou (ZS) and futures sugar closing price in New York futures exchange market(NC) and the other includes futures sugar opening price in Zhengzhou (ZO), ZS and NC. For each quarter, we first use Bayesian model selection to obtain the optimal causal graph with the highest BD scores and then use Bayesian model averaging approach to explore the causal relationship between every two variables. From the real data analysis, the two conclusions almost coincide, which shows that the two methods are practical.     

天然气期货和现货价格间的相关性研究

基于天然气期货价格与现货价格序列间具有强非线性特征,本文将GARCH模型和Copula函数思想进行结合,同时考虑了天然气期货和现货价格间的时变相关结构,构建了时变Copula(GARCH-Normal、GARCH-GED和GARCH-t)模型,利用美国纽约商品交易所(NYMEX)Henry Hub交易中心天然气期货价格和现货价格数据进行实证研究。实证结果表明:GARCH-GED模型能够准确地拟合天然气期货与现货价格时间序列;时变SJC-Copula函数能够更好的描述天然气期货价格与现货价格间的相关性;天然气期货与现货价格间的相关性不是对称的,上尾的相关性小于下尾相的相关性。     

中国玉米期货市场价格发现功能的实证分析

利用相关系数、协整检验、格兰杰因果检验以及GS模型等方法对大连期货交易所玉米期货市场的发现价格功能进行了实证分析.结果表明:玉米期货价格与现货价格之间存在协整关系,期货价格具有良好的发现价格功能;存在期货价格和现货价格的双向格兰杰引导关系;玉米期货市场的发现价格功能中期货价格起着决定性的作用.     

基于高频数据的中国国债期货价格发现能力研究

期货的价格发现能力是近几年国际学术界关注的热点问题,但目前理论界相关研究主要集中于商品期货和股指期货,尚缺乏专门针对中国国债期货价格发现方面的研究。随着中国5年期国债期货于2013年9月上市交易,深入研究中国市场结构下的国债期货价格发现能力有助于从微观视角掌握与其它期货品种内在运行规律的差异性。本文运用中国5年期国债期货上市交易后的5分钟高频数据,采取向量误差修正(VECM)模型和Granger因果关系检验等计量分析方法检验中国国债期货与现货价格之间的关系,并创新性地使用共同因子贡献法和信息份额法分析我国国债期货市场与现货市场对价格发现功能的贡献程度。结果表明,中国国债期货价格与现货价格之间存在长期协整关系。中国国债期货价格是现货价格的Granger成因,且两者之间存在单向的价格引导关系。同时通过实证得出中国国债期货市场在对价格发现的贡献程度上占主导地位的结论。     

郑州白糖期货的因果图分析

主要探讨郑州白糖期货价、纽约白糖期货价和郑州白糖现货价格三者之间的动态关系,利用图模型方法、多维的多元线性回归等方法来分析它们之间的相互影响关系.又由于三者之间的关系受到牛市、熊市等市场因素的影响,故在熊市、牛市和震荡市三种情况下分别探讨三者的关联性.结果显示:不论市场是熊市还是牛市或者是震荡市,郑州白糖期货价都受到纽约白糖期货价的影响作用,郑州白糖现货价都受到郑州白糖期货价的影响;在市场为牛市时,纽约白糖期货价对郑州白糖现货价有显著影响.     

碳市场EUA与CER 期货价格变动关系的实证研究

基于VAR模型,对碳市场中的EUA期货价格和CER期货价格的变动关系进行了实证研究．选取欧洲气候交易所（ECX）的EUA期货价格和CER期货价格作为研究对象,运用Johansen协整检验、Granger因果关系检验、向量误差修正模型、广义脉冲响应函数和方差分解方法形成递进式的计量分析框架．研究结果表明：第一,EUA期货价格与CER期货价格之间存在着相互影响关系;第二,CER期货价格对市场信息的反映比EUA期货价格更为敏感,反映速度更快;第三,两种价格之间,CER期货价格变动的影响起主导作用,更好地发挥了期货的定价功能,两市场间存在杠杆效应．     

中国期货市场与现货市场的价格引导与价格发现

长期以来对期货市场与现货市场价格关系的实证研究都是基于时间序列方法的研究.为了克服时间序列方法存在着的不足,将使用面板数据方法,在面板单位根检验以及面板协整检验和协整估计的基础上,构建面板误差修正模型来分析期货价格和现货价格的均衡以及相互引导关系.进一步的,在误差修正模型的基础上我们采用信息份额方法(I-S模型)和共同因子贡献法(P-T模型)分析了期货市场和现货市场的价格发现功能.通过上述研究,发现总体上讲我国大宗商品的期货价格和现货价格之间存在着长期均衡,并且表现出了相互引导互为Granger因果的关系.利用I-S模型和P-T模型测算出来的期货市场对价格形成的贡献度分别为88.17%和79.44%,这说明当前我国的期货市场总体上讲是有效率的市场.     

Graphical modelling of multivariate time series

We introduce graphical time series models for the analysis of dynamic relationships among variables in multivariate time series. The modelling approach is based on the notion of strong Granger causality and can be applied to time series with non-linear dependences. The models are derived from ordinary time series models by imposing constraints that are encoded by mixed graphs. In these graphs each component series is represented by a single vertex and directed edges indicate possible Granger-causal relationships between variables while undirected edges are used to map the contemporaneous dependence structure. We introduce various notions of Granger-causal Markov properties and discuss the relationships among them and to other Markov properties that can be applied in this context. Examples for graphical time series models include nonlinear autoregressive models and multivariate ARCH models.     

沪深300股指期货价格发现能力研究

利用沪深300指数及其期货当月主力合约的5分钟高频数据,本文采用Granger因果检验、向量自回归模型、Johansen协整检验及向量误差修正模型,系统分析不同价格趋势下沪深300股指期货的价格发现能力。研究表明:第一,在上涨趋势中期货收益率单方面引起现货收益率变化,现货收益率不是引导期货收益变化的原因;但是,在下跌趋势中现货收益率与期货收益率具有相互引导的Granger因果关系。第二,无论在上涨阶段还是下跌阶段,期货市场都在价格发现能力方面处于主导地位。第三,期货价格与现货价格存在长期均衡关系,当二者短期内偏离均衡时,期货价格引导现货价格向均衡方向调整。     

On some balanced, totally balanced and submodular delivery games

This paper studies a class of delivery problems associated with the Chinese postman problem and a corresponding class of delivery games. A delivery problem in this class is determined by a connected graph, a cost function defined on its edges and a special chosen vertex in that graph which will be referred to as the post office. It is assumed that the edges in the graph are owned by different individuals and the delivery game is concerned with the allocation of the traveling costs incurred by the server, who starts at the post office and is expected to traverse all edges in the graph before returning to the post office. A graph G is called Chinese postman-submodular, or, for short, CP-submodular (CP-totally balanced, CP-balanced, respectively) if for each delivery problem in which G is the underlying graph the associated delivery game is submodular (totally balanced, balanced, respectively). For undirected graphs we prove that CP-submodular graphs and CP-totally balanced graphs are weakly cyclic graphs and conversely. An undirected graph is shown to be CP-balanced if and only if it is a weakly Euler graph. For directed graphs, CP-submodular graphs can be characterized by directed weakly cyclic graphs. Further, it is proven that any strongly connected directed graph is CP-balanced. For mixed graphs it is shown that a graph is CP-submodular if and only if it is a mixed weakly cyclic graph. Finally, we note that undirected, directed and mixed weakly cyclic graphs can be recognized in linear time. Received May 20, 1997 / Revised version received August 18, 1998?Published online June 11, 1999     

Fast parallel strong orientation of mixed graphs and related augmentation problems

The strong orientation problem is: Given an undirected graph, G, assign orientations to its edges so that the resulting directed graph is strongly connected. Robbins showed when such an orientation exists. A generalization of this problem is when the input graph is mixed (i.e., contains some directed and some undirected edges). Boesch and Tindell gave necessary and sufficient conditions for a strong orientation to exist in a mixed graph. In this paper we give an NC algorithm for constructing a strong orientation for a given mixed graph after determining if it exists. We also give an NC algorithm for adding a minimum set of arcs to a mixed graph to make it strongly orientable. We give simplified NC algorithms for the following special cases: find minimum augmentations to make a digraph strongly connected and to make an undirected graph bridge-connected. All the algorithms presented run within the time and processor bounds required for computing the transitive closure of a digraph.     

A characterization of partial directed line graphs

Can a directed graph be completed to a directed line graph? If possible, how many arcs must be added? In this paper we address the above questions characterizing partial directed line (PDL) graphs, i.e., partial subgraph of directed line graphs. We show that for such class of graphs a forbidden configuration criterion and a Krausz's like theorem are equivalent characterizations. Furthermore, the latter leads to a recognition algorithm that requires O(m) worst case time, where m is the number of arcs in the graph. Given a partial line digraph, our characterization allows us to find a minimum completion to a directed line graph within the same time bound.The class of PDL graphs properly contains the class of directed line graphs, characterized in [J. Blazewicz, A. Hertz, D. Kobler, D. de Werra, On some properties of DNA graphs, Discrete Appl. Math. 98(1-2) (1999) 1-19], hence our results generalize those already known for directed line graphs. In the undirected case, we show that finding a minimum line graph edge completion is NP-hard, while the problem of deciding whether or not an undirected graph is a partial graph of a simple line graph is trivial.     

混合图的Hermitian邻接矩阵的零维数

A mixed graph means a graph containing both oriented edges and undirected edges. The nullity of the Hermitian-adjacency matrix of a mixed graph G, denoted by ηH(G),is referred to as the multiplicity of the eigenvalue zero. In this paper, for a mixed unicyclic graph G with given order and matching number, we give a formula on ηH(G), which combines the cases of undirected and oriented unicyclic graphs and also corrects an error in Theorem 4.2 of [Xueliang LI, Guihai YU. The skew-rank of oriented graphs. Sci. Sin. Math., 2015, 45:93-104(in Chinese)]. In addition, we characterize all the n-vertex mixed graphs with nullity n-3, which are determined by the spectrum of their Hermitian-adjacency matrices.     

上海燃料油期货市场价格发现功能的实证研究

本文利用协整检验、Granger因果检验、误差修正模型和Garbade-Silber模型对上海燃料油期货的价格发现功能进行了探讨,分析了期货与现货价格之间的相互关系,刻画了期货与现货市场在价格发现功能中作用的大小,并由此说明上海燃料油期货市场的效率。结果表明,燃料油的期货价格与现货价格之间存在协整关系,期货市场具有良好的价格发现功能,这对我国建设完整的石油期货市场具有指导意义。     

A partial model of NF with ZF

The theory New Foundations (NF) of Quine was introduced in [14]. This theory is finitely axiomatizable as it has been proved in [9]. A similar result is shown in [8] using a system called K. Particular subsystems of NF, inspired by [8] and [9], have models in ZF. Very little is known about subsystems of NF satisfying typical properties of ZF; for example in [11] it is shown that the existence of some sets which appear naturally in ZF is an axiom independent from NF (see also [12]). Here we discuss a model of subsystems of NF in which there is a set which is a model of ZF. MSC: 03E70.     

On weighted directed graphs

The study of a mixed graph and its Laplacian matrix have gained quite a bit of interest among the researchers. Mixed graphs are very important for the study of graph theory as they provide a setup where one can have directed and undirected edges in the graph. In this article we present a more general structure, namely the weighted directed graphs and supply appropriate generalizations of several existing results for mixed graphs related to singularity of the corresponding Laplacian matrix. We also prove many new combinatorial results relating the Laplacian matrix and the graph structure.     

多维时间序列Granger因果性的一种图模型学习方法

传统的两变量Granger因果分析法容易产生伪因果关系,且不能刻画变量间的同期因果性.利用图模型方法研究多维时间序列变量间Granger因果关系,通过Granger因果图的建立将问题转化为Granger因果图结构的辨识问题,利用局部密度估计法构造相应的辨识统计量,采用bootstrap方法来确定检验统计量的原分布.模拟分析以及对于中国股市间Granger因果关系的研究说明了该方法的有效性.     

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

We construct a general multi-factor model for estimation and calibration of commodity spot prices and futures valuation. This extends the multi-factor long-short model in Schwartz and Smith (Manag Sci 893–911, 2000) and Yan (Review of Derivatives Research 5(3):251–271, 2002) in two important aspects: firstly we allow for both the long and short term dynamic factors to be mean reverting incorporating stochastic volatility factors and secondly we develop an additive structural seasonality model. In developing this non-linear continuous time stochastic model we maintain desirable model properties such as being arbitrage free and exponentially affine, thereby allowing us to derive closed form futures prices. In addition the models provide an improved capability to capture dynamics of the futures curve calibration in different commodities market conditions such as backwardation and contango. A Milstein scheme is used to provide an accurate discretized representation of the s.d.e. model. This results in a challenging non-linear non-Gaussian state-space model. To carry out inference, we develop an adaptive particle Markov chain Monte Carlo method. This methodology allows us to jointly calibrate and filter the latent processes for the long-short and volatility dynamics. This methodology is general and can be applied to the estimation and calibration of many of the other multi-factor stochastic commodity models proposed in the literature. We demonstrate the performance of our model and algorithm on both synthetic data and real data for futures contracts on crude oil.