常温贮藏条件下短期高浓度CO_2处理对欧洲李子采后生理及品质的影响

以欧洲李子(Prunusd omestica‘Hanita’and‘Elena’)为试材,研究了短期高浓度CO2处理对欧洲李子果实采后生理和贮藏品质的影响。结果表明:在低温(3℃)下采用浓度为30%的CO2对欧洲李子果实处理18h后,在常温贮藏过程中,‘Hanita’属于呼吸跃变型果实,‘Elena’属于非呼吸跃变型果实。短期高浓度CO2处理,可使‘Hanita’果实呼吸高峰提前,加速果实的衰老,对延长‘Elena’果实货架期没有效果。

ESL奶加工技术研究

通过陶瓷膜微滤除菌技术,低强度杀菌技术及无菌灌装技术的结合,对ESL奶的加工技术进行了研究。结果表明,梯度膜(1.4μm)除菌除芽孢效果显著,截留率分别达到99.94%和99.86%,采用75～95℃,4～15s的任意温度时间组合,成品奶中消毒效果彻底,无菌灌装后,产品在7℃下保质期可达30d。

常温贮藏条件下1-MCP处理对欧洲李子采后生理及品质的影响

以欧洲李子(Prunus domestica‘Hanita’and‘Elena’)为试材,研究了1-甲基环丙烯(1-methlcyclopropene)对欧洲李子果实采后生理和贮藏品质的影响。结果表明:在低温(3℃)下采用浓度为1.25μL/L的1-MCP对欧洲李子果实进行处理18h后,在常温贮藏过程中,‘Hanita’属于呼吸跃变型果实,而‘Elena’呼吸速率变化不大,属于非呼吸跃变型果实。1-MCP处理可以降低‘Hanita’果实呼吸高峰的峰值,有效地抑制乙烯释放量。但1-MCP处理对欧洲李子‘Hanita’和‘Elena’果实的可溶性固形物含量及可滴定酸含量的变化无影响。

“公司+农户”模式下公司的期货价差套期保值策略与订单价格

在对"公司+农户"与期货价差交易分析的基础上,通过构建公司的期望效用模型研究了公司的最优期货价差套期保值策略和最优订单价格。研究发现:在期货市场是跨期无偏的条件下,公司受流动性约束时的最优期货价差套期保值策略是持有与订单规模相等的远期空头期货合约和小于订单规模的近期多头期货合约;在此基础上可以得到点价是订单的最优定价方式。

Long memory of price-volume correlation in metal futures market based on fractal features

An empirical test on long memory between price and trading volume of China metals futures market was given with MF-DCCA method. The empirical results show that long memory feature with a certain period exists in price-volume correlation and a fittther proof was given by analyzing the source of multifractal feature. The empirical results suggest that it is of important practical significance to bring the fractal market theory and other nonlinear theory into the analysis and explanation of the behavior in metal futures market.

Applications of nonferrous metal price volatility to prediction of China's stock market

The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.

Volatility-volume relationship of Chinese copper and aluminum futures market

Following Bessembinder and Seguins,trading volume is separated into expected and unexpected components.Meanwhile,realized volatility is divided into continuous and discontinuous jump components.We make the empirical research to investigate the relationship between trading volume components and various realized volatility using1min high frequency data of Shanghai copper and aluminum futures.Moreover,the asymmetry of volatility-volume relationship is investigated.The results show that there is strong positive correlation between volatility and trading volume when realized volatility and its continuous component are considered.The relationship between trading volume and discontinuous jump component is ambiguous.The expected and unexpected trading volumes have positive influence on volatility.Furthermore,the unexpected trading volume,which is caused by arrival of new information,has a larger influence on price volatility.The findings also show that an asymmetric volatility-volume relationship indeed exists,which can be interpreted by the fact that trading volume has more explanatory power in positive realized semi-variance than negative realized semi-variance.The influence of positive trading volume shock on volatility is larger than that of negative trading volume shock,which reflects strong arbitrage in Chinese copper and aluminum futures markets.

Prediction of metal futures price volatility and empirical analysis based on symbolic time series of high-frequency

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.

Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework

Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）, and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure. These three options are： （1） foreign bond futures options struck in foreign currency; （2） foreign bond futures options struck in domestic currency; （3） fixed exchange rate fnreign bond futures option.

Using Wheat Futures to Stabilize the Cost of Raw Material in Bakery Sector

The article presents the example of using relations between the price of wheat flour sold by the milling companies and the price of wheat futures listed on the FOREX market to protect the companies from bakery sector against adverse price movements of raw material--wheat flour. The paper aims to present a method which can help to reduce risk of changes wheat flour price in the market by using wheat futures traded at FOREX market. For the analysis authors used weekly data since January 2006 until October 2010 about wheat flour price, wheat grain price, wheat futures prices, quotes a currency pair USD/PLN. Wheat flour prices came from studies of the Department of Agricultural Markets, Ministry of Agriculture, and Rural Development in Poland and represented the average sales price of wheat flour by milling companies. Information about wheat futures and quotes a currency pair USD/PLN reflects the actual trading of the FOREX market. Authors used statistical analysis tool for determining the strength of the relationship between the price of wheat flour and the wheat price on the domestic market and the wheat futures price. The correlation coefficient between them was 0.763. For further test authors used seven different options that use future contracts to reduce fluctuations in the flour price which can be used in bakery businesses. These results of research show that someone can effectively use wheat futures contracts listed on the FOREX market to protect the bakery business against adverse movements of wheat flour prices. Application in practice chosen strategies can allow bakery companies to achieve cost advantages by reducing the adverse changes in the wheat flour prices. Chosen strategies are more efficient if the prices of flour in the domestic market are rising. If prices drop down, the effectiveness of using wheat futures contracts was lower. It should be noted that wheat futures contracts are a good tool to achieve cost advantages in the bakery industry, especially when the wheat flour prices are increased on the domestic market.

Theory summary on price discovery function of futures market

Price discovery is the basic function of futures market, and whether the futures market has the function of price discovery is an important research field for scholars both at home and abroad. This paper classifies the test methods and models on a basis of previous research, and introduces the applicable premise of research methods and models as well as the major research achievements of scholars at home and abroad, and also reviews the shortcomings of test methods and models.

Cotton Market Fundamentals ＆ Price Outlook

Recent price movement All benchmark prices except the CC Index increased over the past month.Prices for the March NY futures contract surged in late December,rising from75 cents/lb to just below 80 cents/lb.Following that round of increases,

NY futures & A Index turn lower Chinese prices unchanged

2015.5 Recent price movement After trending higher from midMarch through the end of April,values for NY futures and the A Index turned lower in May.Chinese prices have been stable,while Indian and Pakistani prices increased.Prices for the nearby July contract(NY futures)met resistance near 68 cents/

THE EFFECTS OF CHANGING MARGIN LEVELS ON FUTURES OPTIONS PRICE

The paper studies the effects of changing margin levels on the price of fixtures options and how to organize a market maker＇s position. Black model （1976） becomes a special case of this paper. The paper prices futures options by duplicating them and adopting the theory of Backward Stochastic Differential Equations （BSDEs for short）, Furthermore, the price of a futures option is the unique solution to a nonlinear BSDE.

OPTIMAL DECISIONS WHEN BALANCING EXPECTED PROFIT AND CONDITIONAL VALUE-AT-RISK IN NEWSVENDOR MODELS

This paper investigates a risk-averse inventory model by balancing the expected profit and conditional value-at-risk （CVaR） in a newsvendor model setting. We find out that： i） The optimal order quantity is increasing in the shortage cost for both the CVaR only criterion and the tradeoff objective, ii） For the case of zero shortage cost, the optimal order quantity to the CVaR criterion or tradeoff objective is increasing in the selling price, respectively. However, it may not be monotonic in the selling price when incorporating a substantial shortage cost. Moreover, it may be larger or less than the risk-neutral solution, iii） Under the tradeoff objective function, although the optimal order quantity for the model without shortage cost is increasing in the weight put on the expected profit, this property may not be true in general for the model with a substantial shortage cost. Some numerical examples are conducted to verify our results and observations.

PRICING OF LIBOR FUTURES BY MARTINGALE METHOD IN COX-INGERSOLL-ROSS MODEL

This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross(CIR)modelunder Pozdnyakov and Steele(2004)'s martingale framework for futures prices.Under the CIR modelfor short term interest rate,we prove that there exists a unique futures price process associated withthe terminal value and the standard financial market,and that this unique futures price process has amartingale representation.Moreover,a general closed-form pricing formula for LIBOR futures contractsis obtained in the CIR model.

Codependent Cycles of Chinese Infl ation

A test and decomposition of the codependent cycles of the consumer price index （CPI）, agricultural producer price index （APPI） and M2 reveals that the sharp cyclical fluctuations in agricultural producer prices largely stem from the grain price fluctuations induced by factors such as land enclosure and the impact on APP of the abrupt changes in pork prices and other factors. Therefore, changing the current policy of grain purchasing price subsidies to one of subsidies to grain production and sales will reduce the impact of grain prices and other factors on APP and inflation. The weak cyclic codependence among APP, CPI and M2, along with the strong cyclic codependence between M2 and CPI, has given rise to a ＂shuttle-shaped＂ intersection of cyclic elements. This indicates that China＇s monetary policy goal has been alternating between curbing inflation and stimulating growth. When the APP cycle is basically stable, China can implement a moderately easing monetary policy to stimulate economic growth, but this must be based on a 1.5 or so margin of increase in the codependent cycle components of M2. When APP rises sharply or is in the rising phase of cycle elements,China should emphasize APP control, and should delay the moderately easing monetary policy till the APP cycle becomes stable or is in the downlink phase.