交易保证金变动对我国期货市场流动性及波动性影响的实证研究

该文以国内三大期货交易所的几大交易品种为例,分析最低交易保证金的变动对期货市场流动性的影响,同时对是否能够通过降低最低交易保证金提高交易量以及是否能够通过提高最低交易保证金来降低价格波动进行了研究.研究结果显示:保证金变动对期货市场换手率、成交量的影响不大,但对期货合约持仓量的影响显著;保证金与期货市场波动之间关系呈现出弱相关的关系.因此本文认为降低最低交易保证金无法有效扩大交易量和提高市场流动性,调高期货保证金也无法有效抑制期货价格的波动.     

基于POT-Copula模型的我国期货套利组合风险研究

本文选取我国期货市场主要品种合约构成套利组合,运用极值理论POT模型模拟期货合约收益率序列,利用Copula函数描述期货合约收益率序列之间的相依关系,采用Monte Carlo仿真计算套利组合的风险值VaR和条件风险值CVaR,旨在为测算、控制和减少套利组合市场风险提供科学的方法,为我国期货市场套利组合风险管理提供可靠的依据。研究结果表明,我国现行的期货套利组合保证金远远高于风险所需水平。     

金融期货投机技巧

金融期货交易不仅可作为套期保值、转移风险的工具,而且可以用于投机交易,谋取利益。期货市场有了投机者的参与,才能增加市场交易的流动性与活跃性。本文拟就几种典型的金融期货谈谈金融期货的投机技巧。 一、股价指数期货投机交易技巧 股价指数期货吸引投机者原因:一是它是一种买空卖空式的保证金交易,本质上是以“小本博大利”。通常,一份股票价格指数期货合约的保证金约为合约价值的10％。正因为如此,若期货市场的走势与股票指数期货合约交易者所预测的情况相吻合,他便可以通     

SPAN保证金系统及其国内应用价值分析

SPAN保证金系统由于具有动态性、风险计量的精确性和应用的广泛性等特点而被全球50多家交易所结算所采用。本文在对SPAN保证金系统原理进行介绍的基础上,结合国内静态期货交易保证金制度的现状和存在的弊端,认为引进SPAN保证金系统具有能够促进国内期货市场功能有效发挥、适应国内衍生产品未来发展要求、提高国内期货交易所国际竞争力等诸多重要现实意义。     

谈期货交易的保证金制度

一、期货交易的保证金制度 期货市场参与者在进行交易时必须存入一定数额的保证金,又叫履约保证金或押金。保证金是要求买卖双方确保履约的一种财力担保,即双方在合约期满之前不将合约对冲的话,就必须按合约规定进行实物交割。 保证金水平由提供合约的交易所制定,其金额一般为合约价值的5％—18％。但各交易所的规定不同,另外还受市场交易风险的影响,市场波动较大的要支付较多的保证金,波动相对较     

基于GARCH的VaR模型计算铝期货合约最佳保证金比例

期货市场保证金交易制度的建立无疑保证了市场的运行,然而保证金作为交易成本,设立的具体比例的大小直接影响着市场的有效性。本文根据VaR的理论模型,选取0706号铝期货合约的数据,通过实证,运用GARCH过程得到了铝期货合约的最佳保证金比例,并将其与现行保证金比例加以比较,     

增强制度自信 推进改革创新——推动富有中国特色的期货市场监测监控制度更加成熟定型

从富有中国特色的期货保证金安全存管监控制度探索,到富有中国特色的期货市场运行监控制度探索,再到具备独特优势的衍生品场内外联动监测的创新实践,无一不体现了我国期货市场监控的制度自信和改革创新。下一步,中国期货监控将继续为期货市场和衍生品市场更好服务实体经济贡献力量。     

玻璃期货即将上市

白银期货在5月上市后,郑州商品交易所（以下简称“郑商所”）也加快了推出玻璃期货的步伐。5月21日至23日,郑商所举办玻璃期货培训会。根据以往经验,期货新品种上市前几周,交易所一般都会对会员单位开展此类培训,以便各期货公司从业人员得以熟悉新品种和合约内容,为此,业内人士普遍认为玻璃期货上市已为时不远。     

上海期货市场流动性研究

一般地讲,一个流动性越好的市场,配置资源的效率就越高.对于期货市场而言,流动性是交易制度设计和合约设计的重要目标之一,也是考察市场效率和功能发挥的重要指标.期货市场流动性可以表述为:期货市场参与者迅速进行大量期货合约交易,并且不会导致合约价格发生显著波动.一个具有较好流动性的期货市场,应具有较低的交易成本和较快的指令执行速度,并且能迅速平复大额交易对期货合约价格的冲击.     

交易量和波动率动态因果关系研究——基于沪深300股指期货高频数据的实证分析

利用我国沪深300股指期货的高频数据对沪深300股指期货合约交易量和波动率的动态因果关系进行研究.经验证据表明,我国沪深300股指期货市场具有显著的“杠杆效应”,同时股指期货合约的非预期交易量是信息量的有效代理变量,可以很好地解释波动率,二者没有显著的Granger因果关系,因此我国股指期货市场支持了分布混合假说(MDH).其政策含义在于,我国股指期货市场是有一定“市场效率”的,同时该结论对于市场的投资者和套利者都有一定的现实意义.     

Almanac of anticipations: The age of affluence—of anticipation—of anxiety—of automation—of discontinuity—of longing—of overkill—of space exploration

With this survey of developments in the futures field since 1945, I.F. Clarke completes his present series for Futures. He makes two major points: that forecasting techniques have become essential tools in the management of change; and that nuclear weapons and ecological problems have added a moral dimension to the study of the future. In the next issue of Futures he will start a new series on the range of future-thinking in the USA, from the expectations of the first settlers to the Star Wars programme.     

社会主义所有制形式的改革、完善与共产党执政能力的提高

在中国,所有制形式的调整、改革与完善,先进生产力的发展,党的执政能力建设,是社会主义建设过程中密切结合在一起的三个不同层面的发展关系.应在相互促进和共同提高中促进社会的和谐发展,保证社会主义现代化建设战略目标的顺利实现.     

基金公司经营融资融券业务的问题审视

融资融券业务正式运营已经开展,为证券市场带来了革命性的改革,作为证券市场的一大主体,基金公司面对融资融券也迎来了新的发展方向和挑战,本文从融资融券业务的运行机制入手,分析了基金公司融资融券的新契机,并对其即将面临的问题进行审视和剖析,进而提出策略建议.     

对基层人民银行科技工作的几点建议

银监会分设后,人民银行将专司货币政策、金融稳定、金融服务三大职能。作为人民银行的分支机构,基层人民银行的工作重心也将从金融监管调整到这三大职能上来。人民银行的科技部门,就要积极运用科技手段,为人民银行履行新的职能发挥“服务、支持、促进、发展”的作用。一、围绕三大职能搭建五大平台经过“六五打基础、七五作准备、八五大发展”几个阶段后,人民银行相继实现了核算电算化、清算网络化和办公信息化。特别是近一两年来,陆续开通了大额支付系统、信贷登记咨询系统、会计四集中系统、金融信息服务网站等系统,人民银行信息化水平又…     

Properties of time-series estimates of degree of leverage measures

Empirical studies suggest that time-series regression estimates of the degrees of operating and financial leverage have a tendency to produce measures less than one. According to ex ante theory, these measures should be greater than one for firms operating above the breakeven point. There have also been suggestions that the biases in these estimates may be attributable to an underlying increase in unit sales. This work presents evidence that these counter-intuitive measures are produced by changes in the firm's operating parameters (unit price, variable cost, fixed cost and interest payments). It further suggests that attempts to control for the underlying change in unit sales substantially increase the volatility of predicted estimates.     

浅议金融机构的举证责任

金融纠纷案件是当事人以存单或进账单、对账单、存款合同、保险单、票据、证券等凭证为主要证据向人民法院提出诉讼的案件,对于不同种类金融纠纷的当事人的举证责任,我国现行的金融法律、法规及司法解释有不同的规定。由于金融机构的特殊法律地位,发生金融纠纷时存在有关当事人将最后偿付风险转移给金融机构承担的主观故意,在客观上会使金融机构难以提供相应的证据来对抗不法债权人的诉讼请求,而导致金融机构败诉。为此,对金融诉讼案件中金融机构的举证责任加以研究具有重要的实践意义。     

Summary of Results of Survey of Seminar Attendees

Abstract

The Society of Actuaries undertook a three-phase research project on mortality improvement in the three NAFTA countries: Canada, Mexico, and the U.S. Phase 1 consisted of a literature review of papers on projecting mortality levels in the future and a study of the trend in mortality improvement during this century. Phase 2 consisted of a discussion of different facets of modeling mortality rates at a seminar attended by 79 experts (actuaries, demographers, economists, and medical researchers) representing different countries. The last session of the seminar consisted of the completion of a survey by the attendees to obtain input for Phase 3, which would analyze the impact of mortality improvement on the social security system of each country. This paper summarizes the results of the survey.

The survey results illustrate the difficulty in forecasting mortality levels, because the effects of many factors that could have significant impact on mortality rates are unknown. This suggests the need for dynamic forecasting, which allows for the possibility of random shocks. A majority of the survey respondents believe that stochastic forecasting models, despite their complexity, have significant potential to add value. Respondents also believe that both historical data and cause-specific mortality forecasts are useful as input and also in validating forecasts of the aggregate levels of mortality. The challenge is to develop more sophisticated forecasting models to produce results that are relatively easy to interpret and to communicate these results to the desired audiences, including the public and policymakers.

The survey results suggest that the aggregate effect of lifestyle changes, medical advances, diseases, catastrophe, and physical environmental changes is an increase in life span. However, there is much uncertainty about the future. Respondents expect that beyond the year 2020 the mean annual rate of reduction in mortality for males age 65 and over will average about 0.58% for Canada, 0.76% for Mexico, and 0.67% for the U.S. The results for the female age 65 and over population are 0.64%, 0.83%, and 0.70%, respectively. The age 65 and over population is expected to see larger percentage reductions in mortality than the 0–14 and 15–64 populations. The reductions in male and female mortality will be ultimately the same, and the mortality levels in the three countries will ultimately converge, although differences may persist for decades.     

The Usefulness of Measures of Consistency of Discretionary Components of Accruals in the Detection of Earnings Management

Abstract:  Prior research has shown the prevalence of measurement error in models used to estimate aggregate discretionary accruals. In these models, the incremental information content of the various components of accruals is ignored. Limited prior research and data gathered from firms under Securities and Exchange Commission (SEC) litigation indicate that managers use either one or more than one component of accruals simultaneously, in a consistent way to manipulate bottom-line earnings in a given direction. I propose two measures that capture the consistency between the discretionary components of accruals and test their significance in earnings management (EM) detection in firms that have artificially added accrual manipulation and firms that were targeted by the SEC for accrual manipulation. There is evidence that this information is incrementally useful in detecting EM. This finding paves the way for improvements in the discretionary accruals measure by including consistency information from the components of aggregate accruals.     

银行软件项目外包管理分析

一、引言随着国民经济的不断发展,银行业务与外部企业的联系越来越密切。银行正逐步成为现代经济活动的中心,作为数据处理核心的银行业务应用也越来越大型化、越来越复杂化,因此许多银行也把软件项目逐步由原来的自主开发转变为与公司合作的方式,或直接外包开发的方式,银行本身的技术人员也逐步由开发转向项目管理。二、项目外包的分类银行项目的外包有以下几种情况:①部分子系统外包,有时由于银行的软件项目太大,单靠银行自身的开发力量基本无法在预定的时间内完成项目,只好把相对独立的部分外包;②直接购买软件公司的成熟产品,有些金融软…