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| 有色金属期货市场不完善程度定价模型及其验证 | |
| 引用本文： | 于静,孙彬. 有色金属期货市场不完善程度定价模型及其验证[J]. 商业研究, 2009, 0(7) |
| 作者姓名： | 于静 孙彬 |
| 作者单位： | 上海交通大学,金融学院,上海,200030 |
| 基金项目： | 国家自然科学基金青年项目 |
| 摘 要： | 运用套利机制的不完全性及价格期望因素,拓展了期货市场不完善程度定价模型,并运用这个模型检验了国内有色金属期货市场的不完善程度。研究发现沪铜期货市场完善程度最好,沪铝期货市场的完善程度最差,沪锌期货市场的完善程度居中。 |
| 关 键 词： | 有色金属期货 不完善程度定价模型 价格期望 |
Imperfect Degree Pricing Model and Demonstration of Nonferrous Metal Futures Market |
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| YU Jing,SUN Bin. Imperfect Degree Pricing Model and Demonstration of Nonferrous Metal Futures Market[J]. Commercial Research, 2009, 0(7) | |
| Authors: | YU Jing SUN Bin |
| Affiliation: | Institute of Fiance;Shanghai Jiaotong University;Shanghai 200030;China |
| Abstract: | The paper extends imperfect degree pricing model using arbitrage system′s imperfect features and pricing expectations,and through it examines imperfect degree of nonferrous metal market.We find copper futures market′s perfect degree is the best,but aluminium is the worst,zinc is moderate in Shanghai stock exchange. |
| Keywords: | nonferrous metal futures pricing model of imperfect degree pricing expectations |
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