钢材期货价格发现功能研究——基于印度市场信息共享模型的分析

本文借助Johansen协整检验、Granger因果检验、信息共享模型、方差分解等方法进行多层次实证研究,定量地刻画出期货市场在价格发现中作用的大小。研究结果显示：印度板材期货价格和现货价格之间存在长期均衡关系,在价格引导上仅存在现货对期货价格的单向引导关系,期货对现货没有引导关系;通过方差分解发现,现货市场在价格发现功能中处于主导地位,说明印度钢材期货市场效率有待提高,板材期货没有实现其应有的价格发现功能。     

成交量、持仓量对我国大豆类期货价差波动影响的实证分析

采用GARCH(1,1)模型就成交量、持仓量对大豆类期货价差波动率的影响进行实证分析,结果显示：当期成交量、持仓量对大豆期货价差波动的整体影响是显著的;滞后成交量、持仓量对大豆期货价差波动的整体影响也是显著的;当成交量、持仓量同时进入条件方差方程时,它们对大豆类期货价差波动的影响整体上也是显著的。这一结论揭示了我国大豆期货市场信息传递过程,验证了我国大豆期货市场的信息非有效性,对期货市场投资者以及期货市场监管者具有一定的借鉴意义。     

Thin trading and mispricing profit opportunities in the Canadian commodity futures

This study examines whether thin trading problems in the Canadian futures market can create mispricing profit opportunities for canola and feed wheat futures traded over the period 1981 through 1993. A forecasting model is developed using historical and publicly available information to predict futures closing prices for these contracts, then two trading rules (a confidence interval and a percentage price change filter) are used to determine their profit potentials. The size of profits generated from trading canola futures under either rule during the period 1987–1993 is consistent with C. Carter's (1989) earlier results that no market inefficiency was detected during the 1980–1987 period. Similarly, profits from the Canadian feed wheat thinly traded contracts and from a control group using the highly-liquid American soybean oil and wheat contracts do not violate the efficiency theory. The average gross profit per trade analysis further suggests that net positive profits may not be viable for marginal investors.     

Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?

At the end of 2017, the Bitcoin price dropped significantly by approximately 70% over the two months. Since the introduction of Bitcoin futures coincided with this market crash, it is said that the new financial instrument might have caused the market crash. The literature states that the futures enabled investors to easily take a short position and hypothesizes that the selling pressure from futures could have potentially crashed the Bitcoin market. To evaluate this assumption, we investigate the empirical relationship between futures trading and the Bitcoin price by using high-frequency data. We find that Bitcoin futures trading was not significantly related to the returns on Bitcoin futures and spot returns. Therefore, we conclude that Bitcoin futures did not lead to the crash of the Bitcoin market at the end of 2017.     

Margin trade,short sales and financial stability

We model how leveraged trading activities constrained by dynamic funding availability affect financial stability. In the market, customers trade based on the fundamental value of the risky asset and make full payment for their transactions, while speculators take trading position based on margin, which is constantly adjusted by the financier, the fund provider, according to the price volatility. As a result of equilibrium price discontinuity triggered by dynamic margin requirements, trivial shocks to external supply, wealth or fundamental value can be transmitted into asset price crashes or jumps. We find that tightening margin requirements improves (mitigates) the market liquidity in the bull (bear) market, and that imposing short sale constraints helps prevent the price from falling further when the asset is sufficiently under-priced and accelerate price collapse when the asset is over-priced.

     

Information asymmetry,sentiment interactions,and asset price

We develop an asset pricing model with sentiment interactions between institutional and individual investors under the condition of information asymmetry. Our model considers private information and investor sentiment, two imperfections in securities markets, and integrates them into a theoretical model to investigate the role of the interaction between information asymmetry and investor sentiment in asset pricing. We show that the joint effect of private information and investor sentiment deviate the price of risky assets and efficiently explains anomalies in the stock market. Investor sentiment changes the effect of information on the equilibrium price relative to a world where all investors are completely rational. Private information changes the effect of investor sentiment on the equilibrium price in comparison with a scenario with symmetric market information. In addition, the individual investors’ learning and the disclosure of information both allow private information to be better integrated into the price and simultaneously changes the effect of investor sentiment on the equilibrium price.     

Dissecting the myth of the house price in Chinese metropolises: allowing for behavioral heterogeneity among investors

This paper aims to demystify the housing boom in Chinese metropolises by allowing for behavioral heterogeneity among investors. We construct an agent-based model where investors are categorized into two groups: fundamentalists and chartists. In addition, the investment strategy switching is allowed between these two groups contingent on the historical performance. Using the data of five Chinese metropolises over the period 2008–2014, the results suggest that chartists dominate the housing market and make the house price maintain an upward trend, while fundamentalists play a stabilizing role. Specifically, fundamentalists can serve as a “price anchor” in the market, because the proportion of the fundamentalists is negatively associated with both the growth rate of the house price and the deviation relative to the fundamental value. Overall, the impact of the chartists on the house price is much greater than that of the fundamentalists, which contributes to the ever-increasing house price in Chinese metropolises.

     

The sentiment pricing dynamics with short-term and long-term learning

Combining the behavioral characteristics of rational uninformed investors with learning information behavior of sentiment investors, this paper establishes a mathematical model about the impact of learning information behavior on the investor's transaction and asset equilibrium price under asymmetric information. Research shows that when rational uninformed investors learn information in the short term, on the one hand, they choose to bet against sentiment investors, thus reducing the influence of sentiment; on the other hand, they occasionally mistake sentiment for information to chase sentiment investors, then amplifying sentiment shocks. Furthermore, sentiment investors can also gain valuable information indirectly by observing the price in the long term. When sentiment investors learn information in the long term, the price fluctuations caused by sentiment and information, informativeness of the price system and market efficiency are no longer dependent on the quality of information.     

Modelling the iron ore price index: A new perspective from a hybrid data reconstructed EEMD-GORU model

As iron ore is the fundamental steel production resource, predicting its price is strategically important for risk management at related enterprises and projects. Based on a signal decomposition technology and an artificial neural network, this paper proposes a hybrid EEMD-GORU model and a novel data reconstruction method to explore the price risk and fluctuation correlations between China’s iron ore futures and spot markets, and to forecast the price index series of China’s and international iron ore spot markets from the futures market. The analysis found that the iron ore futures market in China better reflected the price fluctuations and risk factors in the imported and international iron ore spot markets. However, the forward price in China’s iron ore futures market was unable to adequately reflect the changes in the domestic iron ore market, and was therefore unable to fully disseminate domestic iron ore market information. The proposed model was found to provide better market risk perceptions and predictions through its combinations of the different volatility information in futures and spot markets. The results are valuable references for the early-warning and management of the related enterprise project risks.     

A model of international asset pricing under imperfect commodity arbitrage

This paper examines the effect of imperfect international commodity arbitrage (i.e., violation of the law of one price), modeled as the existence of non-traded goods, on the structure of purchasing power risk, optimal portfolio rules of the risk-averse investors and the equilibrium yield relationship among assets. The major results of the paper include: (i) There are two separate sources of purchasing power risk, i.e., relative price risk and inflation risk; relative price risk is specific to the country in which the investor resides. (ii) In a world of n countries, investors may hold n + 1 hedge portfolios as vehicles to hedge against purchasing power risk; facing different relative prices, investors residing in different countries display divergent portfolio behavior. (iii) In equilibrium, investors are compensated in terms of excess return for bearing not only the systematic world market risk but also the systematic inflation and relative price risks.     

Heterogenous beliefs with sentiments and asset pricing

We present a dynamic equilibrium model with two irrational investors: an extrapolator and a contrarian, whose beliefs regarding the growth rate of dividend stream are biased by their sentiments. The key contribution is to connect two disagreements with the degree of irrationality of investors and to provide novel insights into the predictability of stock return. We show that the higher level of sentiment disagreement is, the more stock price is overvalued. However, the future stock price will decline because the extrapolator’s sentiment will cool down over time. Therefore, the sentiment disagreement negatively predicts future return. At the meanwhile, our model not only shows that the survey expectations about cashflows increase the variations in asset price and dampen the corresponding volatility, but also helps to explain the mixed results about the relationship between the investors’ belief dispersions and stock return predictability.     

上海黄金期货市场有效性的实证分析

黄金因为其兼有货币、商品和金融三大属性的特征历来受到人们的重视。今年年初黄金期货在上海期货交易所的上市,填补了我国长期缺乏金融期货的空白。同时管理层与市场各参与主体对黄金期货给予很高的期望与关注,因此研究上海黄金期货市场的有效性具有重要意义。通过运用ADF单位根检验、协整检验、误差修正模型以及格兰杰因果检验等时间序列与计量经济方法,对上海期货交易所黄金期货市场的有效性进行实证分析。结果表明,上海黄金期货市场尚未达到有效,并且黄金现货价格单向引导期货价格。     

Convergence to Walrasian equilibrium with minimal information

We consider convergence to Walrasian equilibrium in a situation where firms know only market price and their own cost function. We term this a situation of minimal information. We model the problem as a large population game of Cournot competition. The Nash equilibrium of this model is identical to the Walrasian equilibrium. We apply the best response (BR) dynamic as our main evolutionary model. This dynamic can be applied under minimal information as firms need to know only the market price and the their own cost to compute payoffs. We show that the BR dynamic converges globally to Nash equilibrium in an aggregative game like the Cournot model. Hence, it converges globally to the Walrasian equilibrium under minimal information. We extend the result to some other evolutionary dynamics using the method of potential games.

     

基于高频数据的沪深300指数期货价格发现能力研究

从股指期货和现货对新信息的反应速度、新信息融入比率两个角度,研究了沪深300股指期货的价格发现能力。研究采用了沪深300指数期货和现货的1分钟高频数据进行实证分析,使用向量误差修正模型和脉冲响应函数分析的结果表明,股指期货市场对新信息的反映速度快于现货市场。使用I-S模型和P-T模型实证分析的结果表明,新信息主要通过沪深300指数期货市场进行反映。从新信息反映速度和融入比率两方面来看,沪深300指数期货市场的价格发现能力都要强于指数现货市场。     

计算机在股票定价方法方面的应用——以中国石化(600028)为例

股票买卖的定价问题,是关系到股票投资者投资效益的最直接、最关键、最根本性的问题。本文的目的就是提供一种能指导股票投资者如何在最好的时机买卖股票的好方法。本文的研究课题是运用计算机的快速计算功能为股票二级市场上的任何股票作出合理买卖定价的方法问题,从中国石化股票2012、2013年的大量历史资料入手,采用数据挖掘技术运用计算机中的电子表格进行大量股票价格数据的运算,找出股票价格的变化规律性,制定出股票买卖定价模型,并通过后期实际验证,得出这种定价方法的合理性和可行性的结论。     

Bounded rationality,anchoring-and-adjustment sentiment,and asset pricing

This paper presents a framework that incorporates an investor’s limited attention and anchoring and adjustment sentiment and their joint effects on asset pricing, with endogenous cost of neglecting part of the dividends and the asymmetric rationality levels of investors. We find that the combined effect of the two bounded rationality factors is often embodied in the “loss”, and the retail investors are insensitive to market sentiment and forced to pay more cognitive loss. A higher level of investor rationality and bullish market sentiment will jointly increase demand and then prices, while the effects of different bounded rationality factors are asymmetric.     

Efficiency of temporary equilibria

A temporary equilibrium model of a production economy with various capital markets in which producers maximize the expected utility of cash flows in various periods is considered. Without restricting the price expectation of producers, it is shown that, if contracts to buy or sell goods at future periods can be trated in a market and if the producer's utility functions are increasing in the cash flow of the first period, then the temporary equilibrium allocations are technically efficient. Also, production is technically efficient even in the presence of some quantity constraints on sales of futures contracts which are sufficient for existence of an equilibrium.     

An agent-based early warning indicator for financial market instability

Inspired by the Bank of America Merrill Lynch global breath rule, we propose an investor sentiment index based on the collective movement of stock prices in a given market. We show that the time evolution of the sentiment index can be reasonably described by the herding model proposed by Kirman in his seminal paper “Ants, rationality and recruitment” (Kirman in Q J Econ 108:137–156, 1993). The correspondence between the index and the model allowed us to easily estimate its parameters. Based on the model and the empirical evolution of the sentiment index, we propose an early warning indicator able to identify optimistic and pessimistic phases of the market. As a result, investors and policy-makers can set different strategies anticipating financial market instability. Investors can reduce the risk of their portfolio while policy-makers can set more efficient policies to avoid the effects of financial instability on the real economy. The validity of our results is supported by means of a robustness analysis showing the application of the early warning indicator in eight different worldwide stock markets.

     

我国沪深300股指期货价格发现功能的实证分析

我国股指期货的推出对证券市场产生了巨大的影响,改变了股票市场缺乏规避系统性风险工具的现状,给金融市场带来新的生机与活力。本文采用协整检验、误差修正模型、方差分解和脉冲响应函数实证分析了我国股票市场和期货市场的价格发现功能。研究发现股指期货在价格发现上占主导地位,表明我国股指期货的推出,增强了市场效率,使市场信息能够更快捷的传达。     

From constrained optimization to constrained dynamics: extending analogies between economics and mechanics

Economic equilibrium models have been inspired by analogies to stationary states in classical mechanics. To extend these mathematical analogies from constrained optimization to constrained dynamics, we formalize economic (constraint) forces and economic power in analogy to physical (constraint) forces and the reciprocal value of mass. Agents employ forces to change economic variables according to their desire and their power to assert their interest. These ex-ante forces are completed by constraint forces from unanticipated system constraints to yield the ex-post dynamics. The differential-algebraic equation framework seeks to overcome some restrictions inherent to the optimization approach and to provide an out-of-equilibrium foundation for general equilibrium models. We transform a static Edgeworth box exchange model into a dynamic model with procedural rationality (gradient climbing) and slow price adaptation, and discuss advantages, caveats, and possible extensions of the modeling framework.