摘要
围绕中国期货市场的逼仓风险预警,选取期货价格波动率、持仓量波动率和收益率三个指标,通过函数加权得到了一个综合衡量逼仓风险的信号值,并建立了预警期货市场逼仓风险的模型。以大连商品交易所的豆粕m0409合约的243个交易数据为总样本,举例说明了模型的求解过程和运用效果;并通过郑州商品交易所强麦Ws709合约数据,证明了该预警模型的有效性。
With a view to the comer risk of Chinese futures market, the present research begins with fluctuation risk of futures price, fluctuation risk of hold, earning rate in futures trade. By introducing the weighted function with the three risk index and combing the signal of comer risk to build the pre-warning model of comer risk. The study select 13 samples from 243 effective samples in soul meal contract m0409 of Dalian Commodity Exchange to illustrate the course of judging interval and the eourse of the comer judgment. The conclusion was exemplified by the contract Ws709 of Zhengzhou commodity Exehange.
出处
《价值工程》
2008年第9期163-166,共4页
Value Engineering
关键词
期货市场
逼仓风险
预警模型
逼仓判定
futures market
comer risk
pre-warning model
discriminate of comer
