The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measureme...The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock index futures. Financial supervisors can adjust their supervising strategies according to the daily VaR value. The speculators can adjust risk capital reserve rates in the same way. The application of this method in China's stock index futures market requires the solutions to specific problems: the absence of historical data, the difficult confirmation of non-risk interest rates etc.展开更多
With the introduction of many derivatives into the capital market,including stock index futures,the trading strategies in financial markets have been gradually enriched.However,there is still no theoretical model that...With the introduction of many derivatives into the capital market,including stock index futures,the trading strategies in financial markets have been gradually enriched.However,there is still no theoretical model that can determine whether these strategies are effective,what the risks are,and how costly the strategies are.We built an agent-based cross-market platform that includes five stocks and one stock index future,and constructed an evaluation system for stock index futures trading strategies.The evaluation system includes four dimensions:effectiveness,risk,occupation of capital,and impact cost.The results show that the informed strategy performs well in all aspects.The risk of the technical strategy is relatively higher than that of the other strategies.Moreover,occupation of capital and impact cost are both higher for the arbitrage strategy.Finally,the wealth of noise traders is almost lost.展开更多
Based on two different risk measurement criteria, this article studied the optimal hedging strategies of stock index futures in the case of asymmetric information, and discussed the influence of insider information on...Based on two different risk measurement criteria, this article studied the optimal hedging strategies of stock index futures in the case of asymmetric information, and discussed the influence of insider information on the hedging effect. Through simulation analysis, it can be shown that hedging people with insider information can save hedging costs to a certain extent, which also explains the reason why investors try to obtain corporate information in actual investment activities.展开更多
Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index fu...Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes, winner of 1997 Nobel’ prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black_Scholes, is derived from the solution of the differential equation.展开更多
Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index fu...Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes winner of 1997 Nobel' prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black-Scholes, is derived from the solution of the differential equation.展开更多
The article deeply and systematically probed into a series of problems being faced for establishing index futures transaction in China. Drawing on the successful experiences of other relative countries and according t...The article deeply and systematically probed into a series of problems being faced for establishing index futures transaction in China. Drawing on the successful experiences of other relative countries and according to Chinese real conditions, the author chooses Shanghai composite index as subject-matter, and has designed an index futures contract that accord with the situation of China.展开更多
We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factor...We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factors is determined using Chan and Grant's(2016)deviation information criteria.The predictors in our model include lagged daily,weekly,and monthly volatility variables,the corresponding volatility factors,and a speculation variable.In addition,the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models,including size,inclusion probabilities,and coefficients,are examined.We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts.Furthermore,the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.展开更多
文摘The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock index futures. Financial supervisors can adjust their supervising strategies according to the daily VaR value. The speculators can adjust risk capital reserve rates in the same way. The application of this method in China's stock index futures market requires the solutions to specific problems: the absence of historical data, the difficult confirmation of non-risk interest rates etc.
基金The work was supported by the National Nature Science Foundation of China(71532009,71320107003,71271145)Core Projects in Tianjin Education Bureaus Social Science Program(2014ZD13)Tianjin Development Program for Innovation and Entrepreneurship.
文摘With the introduction of many derivatives into the capital market,including stock index futures,the trading strategies in financial markets have been gradually enriched.However,there is still no theoretical model that can determine whether these strategies are effective,what the risks are,and how costly the strategies are.We built an agent-based cross-market platform that includes five stocks and one stock index future,and constructed an evaluation system for stock index futures trading strategies.The evaluation system includes four dimensions:effectiveness,risk,occupation of capital,and impact cost.The results show that the informed strategy performs well in all aspects.The risk of the technical strategy is relatively higher than that of the other strategies.Moreover,occupation of capital and impact cost are both higher for the arbitrage strategy.Finally,the wealth of noise traders is almost lost.
文摘Based on two different risk measurement criteria, this article studied the optimal hedging strategies of stock index futures in the case of asymmetric information, and discussed the influence of insider information on the hedging effect. Through simulation analysis, it can be shown that hedging people with insider information can save hedging costs to a certain extent, which also explains the reason why investors try to obtain corporate information in actual investment activities.
文摘Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes, winner of 1997 Nobel’ prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black_Scholes, is derived from the solution of the differential equation.
文摘Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes winner of 1997 Nobel' prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black-Scholes, is derived from the solution of the differential equation.
文摘The article deeply and systematically probed into a series of problems being faced for establishing index futures transaction in China. Drawing on the successful experiences of other relative countries and according to Chinese real conditions, the author chooses Shanghai composite index as subject-matter, and has designed an index futures contract that accord with the situation of China.
基金supported by grants from the National Natural Science Foundation of China(72171088,71803049,72003205)the Ministry of Education of the People's Republic of China of Humanities and Social Sciences Youth Fundation(20YJC790142)the General Project of Social Science Planning in Guangdong Province,China(GD22CYJ12).
文摘We forecast realized volatilities by developing a time-varying heterogeneous autoregressive(HAR)latent factor model with dynamic model average(DMA)and dynamic model selection(DMS)approaches.The number of latent factors is determined using Chan and Grant's(2016)deviation information criteria.The predictors in our model include lagged daily,weekly,and monthly volatility variables,the corresponding volatility factors,and a speculation variable.In addition,the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models,including size,inclusion probabilities,and coefficients,are examined.We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts.Furthermore,the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.
