基于马尔科夫模型的期货市场收益率波动预测研究

随着全球经济一体化,仅对收益率进行预测已不足以应对日益复杂的市场风险,若能对金融市场的波动性进行准确预测,可抑制投资者在规避风险和进行套期保值时的过度投机和操纵市场行为.本文以大豆2号期货市场和黄金期货市场作为研究对象,比较不同分布下GARCH类模型对大豆2号与黄金期货市场波动的刻画能力,选择最优模型预测大豆2号期货和...     

国内外黄金现货市场波动特征与风险度量

近十年来,国内外黄金现货市场收益率均表现出尖峰厚尾和波动聚集性特征。但与一般金融资产负的冲击具有非对称效应不同,黄金现货市场利好消息对波动的影响更大,且国内比国外市场有更显著的杠杆效应。在波动性特征方面,学生t分布对国内市场收益率描述效果更佳,而GED分布更适合国际市场;在市场风险度量方面,VaR-GJR-GED模型在国内和国际黄金现货市场风险研究上有很好的风险度量效果。     

浅谈企业套期保值会计的应用及影响

近年来国际黄金价格大幅度波动,使得国内黄金批发．零售奏企业更多地采用期货套期保值工具,以规避市场风险。本文主要针时黄金批零企业在商品期货套期保值的会计核算与信息披露方面所面临的问题进行探讨,以期能找到更符合企业经营现状的会计处理方法。     

基于属性选择法的朴素贝叶斯分类器性能改进

为提高朴素贝叶斯(Naive Bayesian)分类器的分类准确率,对朴素贝叶斯属性选择算法及假 设属性概率 值先验分布中的参数设置问题进行分析,提出将属性先验分布的参数设置加入到属性选择的 过程中,并研究当先验分布服从Dirichlet分布及广义Dirichlet分布情况下的具体调整步骤 。以UCI数据库为例进行仿真实验,结果表明当先验分布服从广义Dirichlet分布时,该方法 可提高分类的准确率,如Parkinsons数据集,效率可提升1332%。     

基于LA-VaR的股指期货保证金设置探讨

保证金制度是股指期货交易的关键和核心,可用VaR方法来确定保证金水平。通过包含市场风险和流动性风险的LA-VaR模型,结合我国股指期货市场的实际,估计出每日的VaR值,结果显示：忽视流动性风险将大大低估股指期货市场上的风险;10%的涨跌停板足以覆盖可能发生的损失。建议在股指期货市场运行一段时间后把保证金水平从现在的12%降为10%,以提高资金使用效率和市场流动性。     

中国黄金期货与现货市场的相关性及其套期保值研究

通过构建VAR-DCC-MVGARCH模型,检验2008—2011年中国黄金期货与现货市场的相关性,并分析最小化资产组合风险的最优套期保值率及其绩效,结果表明:黄金市场仅存在着现货收益率对期货收益率的单向影响;收益率的波动间具有高度正相关的时变特征;动态套期保值组合能够有效地规避黄金现货的投资风险。     

浅谈企业套期保值会计的应用及影响

近年来国际黄金价格大幅度波动,使得国内黄金批发、零售类企业更多地采用期货套期保值工具,以规避市场风险。本文主要针对黄金批零企业在商品期货套期保值的会计核算与信息披露方面所面临的问题进行探讨,以期能找到更符合企业经营现状的会计处理方法。     

上海黄金期货波动率的实证分析——基于夜盘交易推出对黄金期货价格影响机制研究

2008年国内黄金期货市场就已正式建立,但是长期面临交易量低迷、市场不活跃的问题。直到2013年7月上海期货交易所推出黄金期货夜盘交易,才真正连通了国内外黄金市场,有效缩减了隔夜"跳空"价差,降低了投资者的风险暴露。本文运用EGARCH模型研究了国内黄金期货价格的波动率特征,特别研究了夜盘交易推出对黄金期货价格波动率的影响。实证结果显示,夜盘连续交易的推出显著增加了市场活跃度,降低了长期平均波动率水平。     

关于我国股指期货合约设计的探讨

股指期货具有价格发现和套期保值两大功能。选择合适的标的指数是股指期货合约成功与否的关键。合约价值、合约单位、合约报价限制、合约最小报价单位以及保证金水平,均需根据我国证券市场发展的现状,从市场流动性和交易成本两个方面来衡量和确定。     

基于时间序列分析的黄金期货价格预测模型的实证分析

现在越来越多的人将投资目光转向黄金期货市场,但是黄金期货的价格波动较大,对其的预测较为困难,本文结合时间系列模型对国内黄金期货的价格进行预测,对我们掌握黄金价格走势有很大的帮助。     

Brown＇s Blossom in Britain-China

The overall strategic relationship between U.K. and China is ＂better than ever＂, China- Britain relations have maintained good momentum, with increased high-level exchanges and the reinforcement of strategic mutual trust, with more room for growth in the future.     

Challenge and Opportunity Go Hand in Hand——What Global Economic Agitation Brings to the China's Economy?

Domino effects of the global finance agitation As the origin of the subprime crisis,US financial institutions lost USS45 billion last year,accounted for over half of the total US,EU & Japan loss.Since January 15th,Chtigroup released its financial statement of the 4th quarter,showing a net deficit of USS9.83 billion,which marked the hisoric high of its quarterly deficit.     

Sinosteel：Extraordinary Moves in Industry Chess

Among the Fortune 500 firms,more and more images from China emerge out.On the 2008 list,Sinosteel Corporation,a landmark group of China industries quietly squeezes into the candidate line.As the largest steel service ＆ trade enterprise,its sales reached at RMB 111.24 billion,with a year-on-year increase of 83.03 percent,and the profit grew by 180.03 percent.On the Sinosteel 2008 Work Meeting,the president Huang Tianwen uttered,＂In the coming year,we will work for US$20 billion sales,and look forward to getting a position in Fortune 500 firms for ourselves.＂     

Walk Through Unusual Five Years—— An Exhibitor＇s Canton Fair Course

When the 103rd Canton Fair is approaching, an old friend of Canton Fair, Li Ying from Jiangsu prov-ince recollected his past five years＇ experiences to the grand trade meeting. Each year is special, with some unforgettable memories colored by the year.     

Jean-Pierre Duprieu： Willing to Be A Legate of Sino-French Business

Estaing, former French president, Valery Giscard d＇Estaing attended Sino-French Economic Seminar held in Shanghai in early April and said that the world center has shifted from the west to the east with many European and US companies entering into Asia, and China has the ability to play an important role in the world stage. Estaing, naming himself＂French Confucian＂, then said in Chinese that a cook-group includes 10 people in ancient Chinese soldier system and the cook is in charge of cooking for them. And people who belong to the same cook are actually ＂Partners＂.     

China''''s Stock Market Wave

The annual meeting of the World Economy Forum was held in Davos,a little town in Switzerland,on January 23rd to the 27th this year,with the theme"the Power fo Collaborative Innovation",over 2500 celebrates from ture political and cconomic circles of more than 80 countries and challengred logether to talk about the future of the global economy in 2008,A Forum for the problems and challenges that face whole world,some of the keywords which drew attention during the event were:the U.S.subprime mortgage crisis,soaring energy prices,the economic slowdown in the U.S.ermerging economic bodies,authority funds and the general unpredictable nature of the global economy.     

Trade Promotion from Neighborhood

If you are considering to trade with companies in Japan or expanding your .business to Japan, we are ready to help from the very beginning.＂ You will find this greeting at the first sight on the Chinese website of Japan External Trade Organization （JETRO）. JETRO has committed itself in delivering highly efficient and quality services to meet the demand of internal and external customs including Japanese companies, hence winning a good reputation in the international trade arena. In recent years, with its priority in advancing business cooperation in South and East Asia, JETRO has made great achievement in promoting trade between China and Japan. Therefore, China＇s Foreign Trade interviewed Mr. Yoichi Maine, Deputy Director General of JETRO BEIJING.     

Auto Parts Market Potential Coming into Surface

Looking at the increasingly fierce competition in the world auto market. global automobile manufacturing industry, taking Europe, the U.S. and Japan as representatives, is gradually forming a new type of relationship, mutual cooperation between whole vehicle and parts manufacturers. We can clearly see that auto parts manufacturers have become independent from the whole vehicle manufacturing companies, which means that the former structure of auto industry has greatly changed, and a new relationship,     

Public Financial Expenditure——A Reflection of the Livelihood Improvement

In recent years.China's public finance put social construction high on the agenda and attaches more importance on livelihood insurance and improvement.The 2003-2007 public financial expenditure reflects a fact that the government isputting more emphasis on livelihood andissues concerning the people.     

Voices from the MPC and CPPCC

"Crucial for economic growth.energy utilization has its role in all economic sectors and every aspect of people's daily life.Now we are in dire need of a new profession,namely energy manager.We not only need to have passion and responsibility,but also a scientific approach to conserve energy and cut emissions.APpropriate legislation should be in place.and a special profession should be introduced to ensure the implementation of these laws and regulations."