我国期货市场经过二十多年的发展,目前正处于前所未有的好时期。而当前我国经济发展面临的资源瓶颈,亟待期货市场提供商品定价支持。基于此本文从国内与国际期货市场联系的角度出发,对上海期货交易所(S H F E)和伦敦金属交易所(LME)的...我国期货市场经过二十多年的发展,目前正处于前所未有的好时期。而当前我国经济发展面临的资源瓶颈,亟待期货市场提供商品定价支持。基于此本文从国内与国际期货市场联系的角度出发,对上海期货交易所(S H F E)和伦敦金属交易所(LME)的铜期货价格互动关系进行实证研究,以期为国内期货市场的发展提供有益的参考,也为国内学者的后续研究抛砖引玉。本文采用2005年8月至2013年9月上海和伦敦铜期货日收盘数据对上海和伦敦铜期货互动关系进行实证检验—通过构建SVAR模型,更加详细的刻画了SHFE和LME价格相关结构。实证结果表明SHFE与L M E铜期货价格运动协同性提高,SHFE对LME的解释力有所提升,但存在滞后效应。展开更多
The metal futures price fluctuation prediction model was constructed based on symbolic high-frequency time series using high-frequency data on the Shanghai Copper Futures Exchange from July 2014 to September 2018,and ...The metal futures price fluctuation prediction model was constructed based on symbolic high-frequency time series using high-frequency data on the Shanghai Copper Futures Exchange from July 2014 to September 2018,and the sample was divided into 194 histogram time series employing symbolic time series.The next cycle was then predicted using the K-NN algorithm and exponential smoothing,respectively.The results show that the trend of the histogram of the copper futures earnings prediction is gentler than that of the actual histogram,the overall situation of the prediction results is better,and the overall fluctuation of the one-week earnings of the copper futures predicted and the actual volatility are largely the same.This shows that the results predicted by the K-NN algorithm are more accurate than those predicted by the exponential smoothing method.Based on the predicted one-week price fluctuations of copper futures,regulators and investors in China’s copper futures market can timely adjust their regulatory policies and investment strategies to control risks.展开更多
文摘我国期货市场经过二十多年的发展,目前正处于前所未有的好时期。而当前我国经济发展面临的资源瓶颈,亟待期货市场提供商品定价支持。基于此本文从国内与国际期货市场联系的角度出发,对上海期货交易所(S H F E)和伦敦金属交易所(LME)的铜期货价格互动关系进行实证研究,以期为国内期货市场的发展提供有益的参考,也为国内学者的后续研究抛砖引玉。本文采用2005年8月至2013年9月上海和伦敦铜期货日收盘数据对上海和伦敦铜期货互动关系进行实证检验—通过构建SVAR模型,更加详细的刻画了SHFE和LME价格相关结构。实证结果表明SHFE与L M E铜期货价格运动协同性提高,SHFE对LME的解释力有所提升,但存在滞后效应。
基金Projects(71633006,7184207,7184210)supported by the National Natural Science Foundation of ChinaProject(2019CX016)supported by the Annual Innovation-driven Project in Central South University,China。
文摘The metal futures price fluctuation prediction model was constructed based on symbolic high-frequency time series using high-frequency data on the Shanghai Copper Futures Exchange from July 2014 to September 2018,and the sample was divided into 194 histogram time series employing symbolic time series.The next cycle was then predicted using the K-NN algorithm and exponential smoothing,respectively.The results show that the trend of the histogram of the copper futures earnings prediction is gentler than that of the actual histogram,the overall situation of the prediction results is better,and the overall fluctuation of the one-week earnings of the copper futures predicted and the actual volatility are largely the same.This shows that the results predicted by the K-NN algorithm are more accurate than those predicted by the exponential smoothing method.Based on the predicted one-week price fluctuations of copper futures,regulators and investors in China’s copper futures market can timely adjust their regulatory policies and investment strategies to control risks.
