This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID...This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic.We chose three life insurance stock futures in India and one in Taiwan as samples,including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables.We used the growth rate of COVID-19 cases as the threshold variable,esti-mated the asymmetric threshold vector autoregression model,and found that insur-ance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks;therefore,insurance futures are a safe haven for the market.We further estimated the time-varying parameter vector autoregression model,and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.展开更多
Medical care has undergone remarkable improvements over the past few decades.One of the most important innovative breakthroughs in modern medicine is the advent of minimally and less invasive treatments.The trend towa...Medical care has undergone remarkable improvements over the past few decades.One of the most important innovative breakthroughs in modern medicine is the advent of minimally and less invasive treatments.The trend towards employing less invasive treatment has been vividly shown in the field of gastroenterology,particularly coloproctology.Parallel to foregut interventions,colorectal surgery has shifted towards a minimally invasive approach.Coloproctology,including both medical and surgical management of colorectal diseases,has undergone a remarkable paradigm shift.The treatment of both benign and malignant colorectal conditions has gradually transitioned towards more conservative and less inva-sive approaches.An interesting paradigm shift was the trend to avoid the need for radical resection of rectal cancer altogether in patients who showed complete response to neoadjuvant treatment.The trend of adopting less invasive appro-aches to treat various colorectal conditions does not seem to be stopping soon as further research on novel,more effective and safer methods is ongoing.展开更多
This paper provides a comprehensive review of the current status, advancements, and future prospects of humanoid robots, highlighting their significance in driving the evolution of next-generation industries. By analy...This paper provides a comprehensive review of the current status, advancements, and future prospects of humanoid robots, highlighting their significance in driving the evolution of next-generation industries. By analyzing various research endeavors and key technologies, encompassing ontology structure,control and decision-making, and perception and interaction, a holistic overview of the current state of humanoid robot research is presented. Furthermore, emerging challenges in the field are identified, emphasizing the necessity for a deeper understanding of biological motion mechanisms, improved structural design,enhanced material applications, advanced drive and control methods, and efficient energy utilization. The integration of bionics, brain-inspired intelligence, mechanics, and control is underscored as a promising direction for the development of advanced humanoid robotic systems. This paper serves as an invaluable resource, offering insightful guidance to researchers in the field,while contributing to the ongoing evolution and potential of humanoid robots across diverse domains.展开更多
Climate change is one of the major global challenges and it can have a significant influence on the behaviour and resilience of geotechnical structures.The changes in moisture content in soil lead to effective stress ...Climate change is one of the major global challenges and it can have a significant influence on the behaviour and resilience of geotechnical structures.The changes in moisture content in soil lead to effective stress changes and can be accompanied by significant volume changes in reactive/expansive soils.The volume change leads to ground movement and can exert additional stresses on structures founded on or within a shallow depth of such soils.Climate change is likely to amplify the ground movement potential and the associated problems are likely to worsen.The effect of atmospheric boundary interaction on soil behaviour has often been correlated to Thornthwaite moisture index(TMI).In this study,the long-term weather data and anticipated future projections for various emission scenarios were used to generate a series of TMI maps for Australia.The changes in TMI were then correlated to the depth of suction change(H s),an important input in ground movement calculation.Under all climate scenarios considered,reductions in TMI and increases in H s values were observed.A hypothetical design scenario of a footing on expansive soil under current and future climate is discussed.It is observed that a design that might be considered adequate under the current climate scenario,may fail under future scenarios and accommodations should be made in the design for such events.展开更多
Traction power systems(TPSs)play a vital role in the operation of electrified railways.The transformation of conventional railway TPSs to novel structures is not only a trend to promote the development of electrified ...Traction power systems(TPSs)play a vital role in the operation of electrified railways.The transformation of conventional railway TPSs to novel structures is not only a trend to promote the development of electrified railways toward high-efficiency and resilience but also an inevitable requirement to achieve carbon neutrality target.On the basis of sorting out the power supply structures of conventional AC and DC modes,this paper first reviews the characteristics of the existing TPSs,such as weak power supply flexibility and low-energy efficiency.Furthermore,the power supply structures of various TPSs for future electrified railways are described in detail,which satisfy longer distance,low-carbon,high-efficiency,high-reliability and high-quality power supply requirements.Meanwhile,the application prospects of different traction modes are discussed from both technical and economic aspects.Eventually,this paper introduces the research progress of mixed-system electrified railways and traction power supply technologies without catenary system,speculates on the future development trends and challenges of TPSs and predicts that TPSs will be based on the continuous power supply mode,employing power electronic equipment and intelligent information technology to construct a railway comprehensive energy system with renewable energy.展开更多
Together for a Shared Future Compiled by Global Young Leaders Dialogue Price:RMB 118 Paperback,250 pages Published by Foreign Languages Press Together for a Shared Future is co-authored by 35 young people from 26 coun...Together for a Shared Future Compiled by Global Young Leaders Dialogue Price:RMB 118 Paperback,250 pages Published by Foreign Languages Press Together for a Shared Future is co-authored by 35 young people from 26 countries who participated in the project China Tour of the Global Young Leaders Dialogue(GYLD),an institutional platform for idea-sharing among young people from different countries.展开更多
The 21^(st) century has started with several innovations in the medical sciences,with wide applications in health care management.This development has taken in the field of medicines(newer drugs/molecules),various too...The 21^(st) century has started with several innovations in the medical sciences,with wide applications in health care management.This development has taken in the field of medicines(newer drugs/molecules),various tools and technology which has completely changed the patient management including abdominal surgery.Surgery for abdominal diseases has moved from maximally invasive to minimally invasive(laparoscopic and robotic)surgery.Some of the newer medicines have its impact on need for surgical intervention.This article focuses on the development of these emerging molecules,tools,and technology and their impact on present surgical form and its future effects on the surgical intervention in gastroenterological diseases.展开更多
The idea of a human community with a shared future was proposed by the Communist Party of China(CPC)Central Committee with Comrade Xi Jinping at its core for the future development of human beings to face up to the mo...The idea of a human community with a shared future was proposed by the Communist Party of China(CPC)Central Committee with Comrade Xi Jinping at its core for the future development of human beings to face up to the most important question in today's world:“What is happening to the world and what should we do?”It profoundly answers the question of the world,history,and the times.The theory of a human community with a shared future is an innovative theory with a multidimensional formation logic that guides humanity toward continually seeking common interests and values.This paper dives into the profound motivations behind building a human community with a shared future from historical,cultural,and practical dimensions and analyzes its epochal value from both domestic and international perspectives.This not only helps exert China's role in the international community,contributing Chinese strength to the construction of a peaceful,stable,and prosperous human society,but also enhances the influence of the idea of a human community with a shared future in the international community,accelerating the building of a human community with a shared future that considers the legitimate concerns of all countries,and aiding in solving the crises facing the world.展开更多
This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response fimct...This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response fimction and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.展开更多
The thesis analyzes the causal relationship between the cotton spot,and the tendency and impact of prices of futures markets in Xinjiang by using ADF test,co-integration analysis,Granger causality test and other econo...The thesis analyzes the causal relationship between the cotton spot,and the tendency and impact of prices of futures markets in Xinjiang by using ADF test,co-integration analysis,Granger causality test and other econometric methods in order to discuss the interacted relationship between futures market prices of cotton and spot market prices since the futures of cotton in Xinjiang go public.The results of empirical analysis show that the spot market prices of cotton and the futures market prices in Xinjiang fluctuate prominently in the short run and tend to counterpoise in the long run;the futures market of cotton plays the role of leading the spot market prices of cotton in Xinjiang,while the spot market prices of cotton in Xinjiang impacts little on the futures market prices.The corresponding countermeasures are put forward.The government should continuously perfect the construction of the futures market of cotton in Xinjiang,so as to exert the function of price discovery and the function of hedging,and promote the development of cotton industry in Xinjiang.展开更多
Taking soybean products as an example and using the daily price data of 2007-2015,this paper established the error correction model and BEKK-GARCH model,and made an empirical study on the spillover effect of futures a...Taking soybean products as an example and using the daily price data of 2007-2015,this paper established the error correction model and BEKK-GARCH model,and made an empirical study on the spillover effect of futures and spot price of agricultural products of China. According to this study,there were mean spillover effect and two-way volatility spillover effect in futures and spot price of soybean,soybean oil,and soybean meal; soybean futures prices significantly guided the spot price; in the price linkage between the types,the price relationship between the soybean meal and soybean was closer than between the soybean oil and soybean.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
Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open in...Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open interest, another candidate in the margin rule, is also included in our model to investigate its necessity as one of the factors of the rise of margin rates. With the popular copper contract in Shanghai Futures Exchange ( SHFE), our test results suggest that margin levels have a significant positive effect on volatility, yet open interest has little to do with volatility. The implication is that the rise of margin rate approaching maturity virtually deteriorates the degree of market risks, and open interest is not a necessary factor for the margin rule. It indicates that the policy tool, represented by margin rates, has significantly greater influence on volatility than the market element, represented by open interest.展开更多
No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are m...No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are many lower bound arbitrage opportunities in China copper futures market from August 8th, 2003 to August 16th, 2005, Concretely, no-arbitrage opportunity is dominant and lower bound arbitrage is narrow in normal market segment. Lower bound arbitrage almost always exists with huge magnitude in inverted market segment. There is basically no-arbitrage in normal market because spot volume is enough, so that upper or lower bound arbi- trage can be realized, There is mostly lower bound arbitrage in inverted market because spot volume is lack.展开更多
This study investigates the impact of economic policy uncertainty(EPU)on the volatility of European Union(EU)carbon futures prices and whether it has predictive power for the volatility of carbon futures prices.The GA...This study investigates the impact of economic policy uncertainty(EPU)on the volatility of European Union(EU)carbon futures prices and whether it has predictive power for the volatility of carbon futures prices.The GARCH-MIDAS model is applied for evaluating the impact of different EPU indexes on the price volatility of European Union Allowance(EUA)futures.We then compare the predictive power for the volatility of the two GARCH-MIDAS models based on different EPU indexes and six GARCH-type models.Our empirical results show that the GARCH-MIDAS models,which exhibit superior out-of-sample predictive ability,outperform GARCH-type models.The results also indicate that EPU has noticeable effect on the volatility of EUA futures.Specifically,the forecast accuracy of the EU EPU index is significantly higher than that of the global EPU index.Robustness checks further confirm that the EPU index(especially the EPU index of the EU)has strong predictive power for EUA futures prices.Additionally,using the volatility forecasting methods that GARCH-MIDAS models combine with the EPU index,investors can construct their portfolios to realize economic returns.展开更多
The forecast on price of agricultural futures is studied in this paper. We use the ARIMA model to estimate the price trends of agricultural futures,which can help the investors to optimize their investing plans. The s...The forecast on price of agricultural futures is studied in this paper. We use the ARIMA model to estimate the price trends of agricultural futures,which can help the investors to optimize their investing plans. The soybean future contracts are taken as an example to simulate the forecast based on the auto-regression coefficient(p),differential times(d) and moving average coefficient(q). The results show that ARIMA model is better to simulate and forecast the trend of closing prices of soybean futures contract,and it is applicable to forecasting the price of agricultural futures.展开更多
Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME)...Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME) and Shanghai Futures Exchange(SHFE) ,however,possible correlation between the future price and return on different time scales have been ignored. In this paper,wavelet multiresolution decomposition is used to investigate the spillover effects of copper future returns between the two markets. The daily return time series are decomposed on 2n(n=1,…,6) frequency bands through wavelet mul-tiresolution analysis. The correlation between the two markets is studied with decomposed data. It is shown that high frequency detail components represent much more energy than low-frequency smooth components. The relation between copper future daily returns in LME and that in SHFE are different on different time scales. The fluctuations of the copper future daily returns in LME have large effect on that in SHFE in 32-day scale,but small effect in high frequency scales. It also has evidence that strong effects exist between LME and SHFE for monthly responses of the copper futures but not for daily responses.展开更多
Agricultural futures market plays an important role in financial system,and its function of price discovery and hedging is of great significance to the long-term price stability for agricultural products.However,in Ch...Agricultural futures market plays an important role in financial system,and its function of price discovery and hedging is of great significance to the long-term price stability for agricultural products.However,in China,agricultural futures market is still in construction stage,and scholars have not fully studied its price discovery function.Hence,this study will investigate the price discovery function of China agricultural futures market.The causal relationship,price contribution degree and volatility spillover effect of futures and spot markets are studied by comparing the price discovery function of soybean,yellow corn and soybean oil futures and spot.Taking the average daily settlement price of futures and spot in Dalian Commodity Exchange as study objects,the VECM and PT-IS model is used to investigate the causal relationship and the difference in price contribution between them.Then DDC-MGARCH-t model is used to analyze their volatility spillover effect.The empirical results show that there is obvious mutual guiding relationship between agricultural futures and spot market,and the price contribution of futures is significantly higher than that of spot,proving that agricultural futures have the function of price discovery.Meanwhile,the volatility spillover effect between agricultural futures and spot is bidirectional.The impact of internal fluctuations is often greater than that of external shocks.展开更多
基金supported in part by grants from the Ministry of Science and Technology,Taiwan,under Grant no.MOST 111-2410-H-240-001-.
文摘This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic.We chose three life insurance stock futures in India and one in Taiwan as samples,including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables.We used the growth rate of COVID-19 cases as the threshold variable,esti-mated the asymmetric threshold vector autoregression model,and found that insur-ance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks;therefore,insurance futures are a safe haven for the market.We further estimated the time-varying parameter vector autoregression model,and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.
文摘Medical care has undergone remarkable improvements over the past few decades.One of the most important innovative breakthroughs in modern medicine is the advent of minimally and less invasive treatments.The trend towards employing less invasive treatment has been vividly shown in the field of gastroenterology,particularly coloproctology.Parallel to foregut interventions,colorectal surgery has shifted towards a minimally invasive approach.Coloproctology,including both medical and surgical management of colorectal diseases,has undergone a remarkable paradigm shift.The treatment of both benign and malignant colorectal conditions has gradually transitioned towards more conservative and less inva-sive approaches.An interesting paradigm shift was the trend to avoid the need for radical resection of rectal cancer altogether in patients who showed complete response to neoadjuvant treatment.The trend of adopting less invasive appro-aches to treat various colorectal conditions does not seem to be stopping soon as further research on novel,more effective and safer methods is ongoing.
基金supported by the National Natural Science Foundation of China(62303457,U21A20482)Project funded by China Postdoctoral Science Foundation (2023M733737)the National Key R&D Program of China(2022YFB3303800)。
文摘This paper provides a comprehensive review of the current status, advancements, and future prospects of humanoid robots, highlighting their significance in driving the evolution of next-generation industries. By analyzing various research endeavors and key technologies, encompassing ontology structure,control and decision-making, and perception and interaction, a holistic overview of the current state of humanoid robot research is presented. Furthermore, emerging challenges in the field are identified, emphasizing the necessity for a deeper understanding of biological motion mechanisms, improved structural design,enhanced material applications, advanced drive and control methods, and efficient energy utilization. The integration of bionics, brain-inspired intelligence, mechanics, and control is underscored as a promising direction for the development of advanced humanoid robotic systems. This paper serves as an invaluable resource, offering insightful guidance to researchers in the field,while contributing to the ongoing evolution and potential of humanoid robots across diverse domains.
基金supported by President’s Scholarships from the University of South Australia towards his PhD study。
文摘Climate change is one of the major global challenges and it can have a significant influence on the behaviour and resilience of geotechnical structures.The changes in moisture content in soil lead to effective stress changes and can be accompanied by significant volume changes in reactive/expansive soils.The volume change leads to ground movement and can exert additional stresses on structures founded on or within a shallow depth of such soils.Climate change is likely to amplify the ground movement potential and the associated problems are likely to worsen.The effect of atmospheric boundary interaction on soil behaviour has often been correlated to Thornthwaite moisture index(TMI).In this study,the long-term weather data and anticipated future projections for various emission scenarios were used to generate a series of TMI maps for Australia.The changes in TMI were then correlated to the depth of suction change(H s),an important input in ground movement calculation.Under all climate scenarios considered,reductions in TMI and increases in H s values were observed.A hypothetical design scenario of a footing on expansive soil under current and future climate is discussed.It is observed that a design that might be considered adequate under the current climate scenario,may fail under future scenarios and accommodations should be made in the design for such events.
基金supported in part by the Scientific Foundation for Outstanding Young Scientists of Sichuan under Grant No.2021JDJQ0032in part by the National Natural Science Foundation of China under Grant No.52107128in part by the Natural Science Foundation of Sichuan Province under Grant No.2022NSFSC0436.
文摘Traction power systems(TPSs)play a vital role in the operation of electrified railways.The transformation of conventional railway TPSs to novel structures is not only a trend to promote the development of electrified railways toward high-efficiency and resilience but also an inevitable requirement to achieve carbon neutrality target.On the basis of sorting out the power supply structures of conventional AC and DC modes,this paper first reviews the characteristics of the existing TPSs,such as weak power supply flexibility and low-energy efficiency.Furthermore,the power supply structures of various TPSs for future electrified railways are described in detail,which satisfy longer distance,low-carbon,high-efficiency,high-reliability and high-quality power supply requirements.Meanwhile,the application prospects of different traction modes are discussed from both technical and economic aspects.Eventually,this paper introduces the research progress of mixed-system electrified railways and traction power supply technologies without catenary system,speculates on the future development trends and challenges of TPSs and predicts that TPSs will be based on the continuous power supply mode,employing power electronic equipment and intelligent information technology to construct a railway comprehensive energy system with renewable energy.
文摘Together for a Shared Future Compiled by Global Young Leaders Dialogue Price:RMB 118 Paperback,250 pages Published by Foreign Languages Press Together for a Shared Future is co-authored by 35 young people from 26 countries who participated in the project China Tour of the Global Young Leaders Dialogue(GYLD),an institutional platform for idea-sharing among young people from different countries.
文摘The 21^(st) century has started with several innovations in the medical sciences,with wide applications in health care management.This development has taken in the field of medicines(newer drugs/molecules),various tools and technology which has completely changed the patient management including abdominal surgery.Surgery for abdominal diseases has moved from maximally invasive to minimally invasive(laparoscopic and robotic)surgery.Some of the newer medicines have its impact on need for surgical intervention.This article focuses on the development of these emerging molecules,tools,and technology and their impact on present surgical form and its future effects on the surgical intervention in gastroenterological diseases.
文摘The idea of a human community with a shared future was proposed by the Communist Party of China(CPC)Central Committee with Comrade Xi Jinping at its core for the future development of human beings to face up to the most important question in today's world:“What is happening to the world and what should we do?”It profoundly answers the question of the world,history,and the times.The theory of a human community with a shared future is an innovative theory with a multidimensional formation logic that guides humanity toward continually seeking common interests and values.This paper dives into the profound motivations behind building a human community with a shared future from historical,cultural,and practical dimensions and analyzes its epochal value from both domestic and international perspectives.This not only helps exert China's role in the international community,contributing Chinese strength to the construction of a peaceful,stable,and prosperous human society,but also enhances the influence of the idea of a human community with a shared future in the international community,accelerating the building of a human community with a shared future that considers the legitimate concerns of all countries,and aiding in solving the crises facing the world.
基金supported by the National Natural Science Foundation of China[grant number 42088101] and the National Natural Science Foundation of China[grant number 42005020].
文摘This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response fimction and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.
基金Supported by The President Foundation Program of Tarim University(TDSKSS08002)
文摘The thesis analyzes the causal relationship between the cotton spot,and the tendency and impact of prices of futures markets in Xinjiang by using ADF test,co-integration analysis,Granger causality test and other econometric methods in order to discuss the interacted relationship between futures market prices of cotton and spot market prices since the futures of cotton in Xinjiang go public.The results of empirical analysis show that the spot market prices of cotton and the futures market prices in Xinjiang fluctuate prominently in the short run and tend to counterpoise in the long run;the futures market of cotton plays the role of leading the spot market prices of cotton in Xinjiang,while the spot market prices of cotton in Xinjiang impacts little on the futures market prices.The corresponding countermeasures are put forward.The government should continuously perfect the construction of the futures market of cotton in Xinjiang,so as to exert the function of price discovery and the function of hedging,and promote the development of cotton industry in Xinjiang.
基金Supported by the Project of National Natural Science Foundation of China"Study on Risk Evaluation and Transmission of Agricultural Product Futures and Spot Market in China in the Context of Finance"(71673103)
文摘Taking soybean products as an example and using the daily price data of 2007-2015,this paper established the error correction model and BEKK-GARCH model,and made an empirical study on the spillover effect of futures and spot price of agricultural products of China. According to this study,there were mean spillover effect and two-way volatility spillover effect in futures and spot price of soybean,soybean oil,and soybean meal; soybean futures prices significantly guided the spot price; in the price linkage between the types,the price relationship between the soybean meal and soybean was closer than between the soybean oil and soybean.
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Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open interest, another candidate in the margin rule, is also included in our model to investigate its necessity as one of the factors of the rise of margin rates. With the popular copper contract in Shanghai Futures Exchange ( SHFE), our test results suggest that margin levels have a significant positive effect on volatility, yet open interest has little to do with volatility. The implication is that the rise of margin rate approaching maturity virtually deteriorates the degree of market risks, and open interest is not a necessary factor for the margin rule. It indicates that the policy tool, represented by margin rates, has significantly greater influence on volatility than the market element, represented by open interest.
基金National Natural Science Foundation ofChina (No.70331001)
文摘No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are many lower bound arbitrage opportunities in China copper futures market from August 8th, 2003 to August 16th, 2005, Concretely, no-arbitrage opportunity is dominant and lower bound arbitrage is narrow in normal market segment. Lower bound arbitrage almost always exists with huge magnitude in inverted market segment. There is basically no-arbitrage in normal market because spot volume is enough, so that upper or lower bound arbi- trage can be realized, There is mostly lower bound arbitrage in inverted market because spot volume is lack.
基金supported by the National Natural Science Foundation of China(Nos.71871030,72131011)the Open Fund Project of Key Research Institute of Philosophies and Social Sciences in Hunan University of China(No.20FEFMZ1).
文摘This study investigates the impact of economic policy uncertainty(EPU)on the volatility of European Union(EU)carbon futures prices and whether it has predictive power for the volatility of carbon futures prices.The GARCH-MIDAS model is applied for evaluating the impact of different EPU indexes on the price volatility of European Union Allowance(EUA)futures.We then compare the predictive power for the volatility of the two GARCH-MIDAS models based on different EPU indexes and six GARCH-type models.Our empirical results show that the GARCH-MIDAS models,which exhibit superior out-of-sample predictive ability,outperform GARCH-type models.The results also indicate that EPU has noticeable effect on the volatility of EUA futures.Specifically,the forecast accuracy of the EU EPU index is significantly higher than that of the global EPU index.Robustness checks further confirm that the EPU index(especially the EPU index of the EU)has strong predictive power for EUA futures prices.Additionally,using the volatility forecasting methods that GARCH-MIDAS models combine with the EPU index,investors can construct their portfolios to realize economic returns.
文摘The forecast on price of agricultural futures is studied in this paper. We use the ARIMA model to estimate the price trends of agricultural futures,which can help the investors to optimize their investing plans. The soybean future contracts are taken as an example to simulate the forecast based on the auto-regression coefficient(p),differential times(d) and moving average coefficient(q). The results show that ARIMA model is better to simulate and forecast the trend of closing prices of soybean futures contract,and it is applicable to forecasting the price of agricultural futures.
文摘Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME) and Shanghai Futures Exchange(SHFE) ,however,possible correlation between the future price and return on different time scales have been ignored. In this paper,wavelet multiresolution decomposition is used to investigate the spillover effects of copper future returns between the two markets. The daily return time series are decomposed on 2n(n=1,…,6) frequency bands through wavelet mul-tiresolution analysis. The correlation between the two markets is studied with decomposed data. It is shown that high frequency detail components represent much more energy than low-frequency smooth components. The relation between copper future daily returns in LME and that in SHFE are different on different time scales. The fluctuations of the copper future daily returns in LME have large effect on that in SHFE in 32-day scale,but small effect in high frequency scales. It also has evidence that strong effects exist between LME and SHFE for monthly responses of the copper futures but not for daily responses.
文摘Agricultural futures market plays an important role in financial system,and its function of price discovery and hedging is of great significance to the long-term price stability for agricultural products.However,in China,agricultural futures market is still in construction stage,and scholars have not fully studied its price discovery function.Hence,this study will investigate the price discovery function of China agricultural futures market.The causal relationship,price contribution degree and volatility spillover effect of futures and spot markets are studied by comparing the price discovery function of soybean,yellow corn and soybean oil futures and spot.Taking the average daily settlement price of futures and spot in Dalian Commodity Exchange as study objects,the VECM and PT-IS model is used to investigate the causal relationship and the difference in price contribution between them.Then DDC-MGARCH-t model is used to analyze their volatility spillover effect.The empirical results show that there is obvious mutual guiding relationship between agricultural futures and spot market,and the price contribution of futures is significantly higher than that of spot,proving that agricultural futures have the function of price discovery.Meanwhile,the volatility spillover effect between agricultural futures and spot is bidirectional.The impact of internal fluctuations is often greater than that of external shocks.