2011年7月上海期货交易所市场综述

金属市场：7月伦敦金属交易所（LME）期铜、期铝、期锌价格总体表现为强劲上涨走势,而期铅则呈盘整走势。美联储主席表示可能采取新的货币刺激政策、智利铜矿罢工等因素提振金属价格,但月末美国债务上限谈判悬而未决引发市场对全球经济担忧,令金属价格高位盘整。     

2011年5月上海期货交易所市场综述

金属市场：5月伦敦金属交易所期铜、期铝、期锌、期铅价格总体表现为先抑后扬的震荡走势。上半月受能源价格高涨带来全球通胀压力、主要经济体采取价格调控手段、白银等贵金属大幅杀跌等影响,基本金属价格呈下跌走势,下半月在美元指数回落的支撑下止跌反弹。月末,三月期铜价格收于9220美元/吨,较上月下跌100美元;三月期铝价格收于2677美元/吨,     

2014年7月上海期货交易所市场综述

金属市场：7月．伦敦金属交易所（LME）期铝和期锌价格单边上行．期铜和期铅价格震荡上扬。月初,受美国就业数据表现亮眼、中国6月采购经理指数（PMI）数据大幅反弹等因素影响．金属价格迎来一波涨势。月中金属价格走势出现分化。下旬．中欧美经济数据回暖推动金属价格节节攀升。     

2011年11月上海期货交易所市场综述

金属市场：11月伦敦金属交易所（LME）期铜、期铝、期锌、期铅价格呈下行走势．月末大幅反弹。欧债危机愈演愈烈、美国国会“超级委员会”承认减赤举措磋商搁浅，引发投资者担忧全球经济前景，导致金属期价全月呈下跌态势。月末．全球六大央行采取协调行动向市场提供流动性．中国央行决定下调存款准备金率．令金属期价逆转走强。     

2012年5月上海期货交易所市场综述

金属市场：2012年5月,伦敦金属交易所（LME）期铜、期铝、期锌、期铅价格总体呈大幅走低的态势。受希腊未能成功组建联合政府遭惠誉调降评级、美国商务部下调一季度GDP预估值、中国官方辟谣“4万亿”刺激计划等因素影响,金属价格基本呈持续下跌的走势。月末,LME三月期铜收于74375美元／吨．较上月下跌964．5美元;三月期铝收于1994美元／吨,较上月下跌125.5美元;三月期锌收于1881美元／吨,较上月下跌177美元：三月期铅收于1925美元／吨,较上月下跌221.3美元。     

2011年10月上海期货交易所市场综述

金属市场：10月伦敦金属交易所（LME）期铜表现为强劲上涨走势,而期铝、期锌、期铅则呈盘整至小幅上涨。穆迪宣布调降西班牙评级、德国对欧洲承诺制定的方案态度悲观,一度令市场大幅下跌,但随后欧盟领导人在希腊债务减记、EFSF扩容、银行业资本状况三个重大领域达成共识,国际有色金属价格在月末上涨明显。     

2013年8月上海期货交易所市场综述

金属市场：8月伦敦金属交易所（LME）期铜、期铝、期铅和期锌价格呈现震荡上扬态势。上半月,全球多国制造业指数向好以及就业市场温和改善,推动金属价格上扬。下半月,受美联储退出QE计划的不确定性令市场不安等因素影响,金属价格回吐前期部分涨势。月末,LME三月期铜价格收于7100美元／吨,较上月上涨220美元：三月期铝价格收于1814美元／吨。     

2013年12月上海期货交易所市场综述

金属市场：2013年12月．伦敦金属交易所（LME）期铜、期铝、期锌和期铅价格震荡上扬。上半月，美国经济持续向好带动金属价格节节攀升：中旬，美联储宣布缩减QE规模令金属价格出现分化：月末，伴随美国经济继续稳步复苏与中国银行业资金紧缺状态缓解，金属价格普遍反弹。     

2010年4月上海期货交易所市场综述

铜、铝、锌：2010年4月．伦敦金属交易所（LME）期铜、期铝、期锌价格呈现下跌走势。月末,三月期铜价格收于7407美元／吨．较上月末下跌412美元;三月期铝价格收于2247美元／吨,较上月末下跌83美元：三月期锌价格收于2293美元／吨．较上月末下跌76美元。     

2011年3月上海期货交易所市场综述

金属市场：3月伦敦金属交易所（LME）期铜、期铝、期锌、期铅价格总体表现为冲高回落、止跌回升。受利比亚及中东政局不稳、欧洲债务危机再次升温等影响,金属价格整体高位回落。而美国经济总体好转及日本灾后重建将长期拉动金属需求令市场看好金属消费后市,金属价格止跌回升。月末,     

Integral futures based on the paradigm approach

The study discusses the interpretation of integral futures in the context of paradigm. The dynamic matrix model of futures paradigm has been developed for carrying out meta-analysis of futures. As a result of meta-analysis integral futures and its new paradigms are defined by way of reconstructing futures paradigm history as responses to changing societal needs and through the outcomes of dynamic and comparative analysis of futures paradigms. The study sets the argument that integral futures: (a) is entering a new phase in development of futures that responds to societal demands for sustainability, democratic participation and continuous knowledge production and integration, (b) it is the phase of cooperation building between theoretical and practical futures, (c) it is the complementary development of co-evolutionary and participatory paradigms, and (d) it unfolds further research perspectives for futures.     

Futures Options and the Volatility of Futures Prices

Assuming nonstochastic interest rates, European futures options are shown to be European options written on a particular asset referred to as a futures bond. Consequently, standard option pricing results may be invoked and standard option pricing techniques may be employed in the case of European futures options. Additional arbitrage restrictions on American futures options are derived. The efficiency of a number of futures option markets is examined. Assuming that at-the-money American futures options are priced accurately by Black's European futures option pricing model, the relationship between market participants' ex ante assessment of futures price volatility and the term to maturity of the underlying futures contract is also investigated empirically.     

Why derivatives on derivatives? The case of spread futures

Recently, calendar spread futures, futures contracts whose underlying asset is the difference of two futures contracts with different delivery dates, have been successfully introduced for a number of financial futures contracts traded on the Chicago Board of Trade. A spread futures contract is not an obvious financial innovation, as it is a derivative on a derivative security: a spread futures position can be replicated by taking positions in the two underlying futures contracts, both of which may already be quite liquid. This paper provides a motivation for this innovation, demonstrating how the introduction of spread futures can, by changing the relative trading patterns of hedgers and informed traders, affect equilibrium bid–ask spreads, improve hedger welfare, and potentially improve market-maker expected profits. These results are robust both to allowing serial correlation of asset price changes, and investor preference for skewness.     

On applied science, prediction and contingency

Like any other science, to remain a worthwhile scientific discipline, futures research needs to reflect on itself. It needs to do so from three perspectives: 1) futures research is regarded as an applied science: a closer connection between studying the future in an academic manner and conducting futures research can improve the quality and subsequently the use and impact of futures research, since this will set a cyclic process between theory and practice in motion. An important condition for ensuring this is to increase the amount of empirical research concerning the way futures research is carried out in real life; 2) a reappraisal of predicting the future: although history has shown that predicting the future is difficult, stating that, in the future, predictions will not be a part of futures research is in itself a prediction. In fact, predictions can serve as valuable starting points for discourses on the future; 3) the context of futures research: futures researchers should be more aware of the context in which they do their work. This can significantly enhance the usability of futures research but it also means that futures researchers should become more flexible in applying their methods and processes.     

Arbitrage, Risk Premium, and Cointegration Tests of the Efficiency of Futures Markets

This article provides a new perspective on the efficiency of futures markets in a cointegration framework. Under the conventional risk premium hypothesis, if futures and spot prices are non-stationary, they must be cointegrated if futures markets are efficient. Alternatively, the cost-of-carry model implies that there should be a cointegration relationship among spot prices, futures prices and interest rates assuming all the series contain a unit root. Market efficiency further implies specific parameter restrictions under these two models. Using data on the futures markets for gold, silver, palladium and platinum, this article first establishes that interest rates, spot and futures prices are unit root non-stationary. The evidence on cointegration is somewhat mixed: the gold futures market is consistent with the cost-of-carry model, and the silver futures market satisfies the risk premium hypothesis, but the evidence for the other two markets is inconclusive.     

Futures-Style Options on Euro-deposit Futures: Nihil sub Sole Novi?

Euro-deposit futures play a relevant role among the derivative products traded in official markets. As opposed to most futures contracts, the underlying instrument is not represented by a traded asset but by a linear transformation of an interest rate, the Libor. The options written on Euro-deposit futures that are traded at the London International Financial Futures & Options Exchange (LIFFE) are subject to daily marking to market, as the underlying futures; thus, they are called futures-style options or pure futures options. These options are often priced with the Black (1976) formula, whose use entails several shortcomings. A more realistic alternative is represented by the univariate Cox, Ingersoll and Ross (1985) model. The closed-form solutions for the prices of Euro-deposit futures and futures-style options on Euro-deposit futures obtained in the CIR model are two major original contributions presented in this paper. Other original contributions involve the determination of the relation between futures rates and forward rates and the derivation of the equivalent portfolio for the hedging of futures-style options on Euro-deposit futures.     

The history of Western futures studies: An exploration of the intellectual traditions and three-phase periodization

The main purpose of this paper is to present a three-phase periodization of modern Western futures studies to construct historical classification. In order to reach this goal, the following intellectual traditions are introduced to review the philosophical and historical contexts that affect the very foundations of futures studies: (a) religions, (b) utopias, (c) historicism, (d) science fiction, and (e) systems thinking. The first phase (beginning in 1945 to the 1960s) was the era of scientific inquiry and rationalization of the futures characterized by the prevalence of technological forecasting, the rise of alternative futures in systematic ways, and the growth of professionalization of futures studies. In the first phase, futures had become objects of rationalization removed from the traditional approaches such as utopia, grandiose evolutionary ideas, naive prophecies, science fiction, religious attitudes, and mystical orientation. The second phase (the 1970s and the 1980s) saw the creation the global institution and industrialization of the futures. This era was marked by the rise of worldwide discourse on global futures, the development of normative futures, and the deep involvement of the business community in futures thinking. In the second phase, futures studies-industry ties were growing and the future-oriented thoughts extensively permeated the business decision-making process. The third phase (the 1990s – the present) reflects the current era of the neoliberal view and fragmentation of the futures. This phase is taking place in the time of neoliberal globalization and risk society discourses and is characterized by the dominance of foresight, the advance of critical futures studies, and the intensification of fragmentation. In the third phase, futures practice tends to be confined to the support of strategic planning, and hence is experiencing an identity crisis and loss of its earlier status of humanity-oriented futures.     

2014年4月上海期货交易所市场综述

金属市场：本月伦敦金属交易所（LME）期铝、期锌和期铅价格先扬后抑，期铜总体窄幅震荡。美联储会议纪要释放谨慎加息信号及中国一季度GDP略高于预期等因素，先后带动金属价格上扬；铜价受制于欧央行可能实行大规模购买债券等因素陷入震荡整理格局。月末，LME三月期铜价格收于6642美元／吨，较上月下跌3美元：三月期铝价格收于1800美元／吨．     

The Lead‐Lag Relationship Between Cash and Stock Index Futures in a New Market

This paper investigates the lead‐lag relationship in daily returns and volatilities between price movements of the FTSE/ATHEX‐20 and FTSE/ATHEX Mid‐40 stock index futures and the underlying cash indices in the relatively new futures market of Greece. Empirical results show that there is a bi‐directional relationship between cash and futures prices. However, futures lead the cash index returns, by responding more rapidly to economic events than stock prices. This speed is much higher in the more liquid FTSE/ATHEX‐20 market. Moreover, results indicate that futures volatilities spill information over to the corresponding cash market volatilities in both investigated futures markets, but volatilities in the cash markets have no effect on the volatilities of futures markets. Overall, it seems that new market information is disseminated faster in the futures market compared to the stock market. This implies that the futures markets can be used as price discovery vehicles, providing further evidence that derivatives markets contribute to completing and stabilising capital markets in Greece. A further finding of this study is that futures volume and disequilibrium effects between cash and futures prices are important variables in the explanation of volatilities in cash and futures markets.