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针对期货价格预测这一问题,本文主要介绍了几种与计算机相关的技术指标,充分利用已有数据和博弈大师软件所得出的图表进行预测分析,几种技术指标之间的优势得到了有效的互补,提高了预测的准确率。最后结合具体的期货品种进行了分析,进一步验证了预测的有效性。 相似文献
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资源性商品期货市场的存在是为了对冲资源性企业运营风险,但在当前经济形势的不确定性事件频发的情况下,资源性企业若不能及时有效调整期货市场行动,则会出现巨大亏损。通过梳理传统资源性商品期货市场存在的必要性,采取比较静态博弈的方法分析在期货交易中,资源性企业与市场投机者的交易策略与博弈。研究发现：不确定性会冲击市场原有的利益分配格局,从而改变市场参与者的行动,进而影响资源性商品期货价格。针对这种不确定性,提出企业应动态调整交易策略、建立和完善我国期货市场等建议。 相似文献
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<正>一、我国货币政策有效性面临的问题20世纪90年代以来,中央银行把货币供应量作为货币政策的中介目标,由于中央银行不能很好的控制货币供应量,货币供应量具有内生性,并不是完全外生的,中央银行只能控制基础货币, 相似文献
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Interdependencies between commodity prices can arise from the impact of changing macroeconomic variables, from complementarities or substitutabilities between commodities, or from common responses by speculators. Malliaris and Urrutia (1996) found significant linkages between rollover prices of six related agricultural commodities on the Chicago Board of Trade. This article examines interdependencies between futures prices for soft commodities traded on the London International Financial Futures Exchange (LIFFE), calculated using Clark indices. Results show that there are no interdependencies between any two prices; price discovery of one contract provides no information about others. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 269–280, 2002 相似文献
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在开放经济中,地区的贸易结构对其经济发展有着巨大影响。成都和重庆作为西部地区和长江上游经济带中部地区两个对外贸易比较发达的城市,在对外贸易发展中有着重要的地位。利用定量分析(ADF)工具、协整检验和格兰杰因果检验进行了实证研究,对成渝地区区域进口总值与国内生产总值、出口总值和非出口部门生产之间的关系进行了回归分析。 相似文献
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A number of papers have dealt with commodity financialization finding strong evidence for its existence and its effect on commodity prices and volatility. We chose convenience yield (CY) to study the effect of commodity financialization based on the theory of storage and on the argument that CY resembles a call option. Using quarterly data in the period 1995–2018, on soybeans stocks, cash and futures prices, a dynamic Autoregressive Distributed Lag with Exogenous model is estimated to measure the effects of independent variables from both the financial and commodity markets on CY. The evidence reveals that financial markets volatility along macroeconomic global variables affect soybeans CY giving support to the existence of commodity financialization. Besides, we find a statistically significant and negative relation between volatility index and CY. Support for this evidence rests on the theory of storage, Real Option Analysis, and behavioral finance. 相似文献
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This paper investigates the predictive properties of import and export prices of commodities on the exchange rates. A period from 1993 to 2016 is considered. We find that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables. This holds irrespective of whether the countries are net exporters or importers of commodities. However, the forecasting power was even better in the 1990s and seems to have decreased since that that time. Nevertheless, forecasts can even today be improved considerably by adding commodity prices. 相似文献
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Yulia Merkoulova 《期货市场杂志》2020,40(5):804-815
Using nonparametric methodology, I find that speculators are successful in taking profitable positions in energy futures markets, although the magnitude of this effect is lower than that found previously for agricultural markets. A plausible explanation for this difference is that price forecasting is more difficult for energy commodities. Moreover, I find that the energy speculators’ returns are due to the existence of the risk premiums rather than to speculators’ forecasting abilities. Futures risk premium is highly time-variant; notably, energy investors’ profits have been very limited in the GFC and post-GFC period, which coincided with the financialization of commodity markets. 相似文献
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基于LSTM深度学习的大豆期货价格预测 总被引：1，自引：0，他引：1
面对越来越复杂的金融市场环境,以传统统计学和计量学为主的时间序列预测模型在发现序列中的长期依赖关系方面存在一定局限性,而深度学习中的长短期记忆(LSTM)网络有望克服这一问题。通过构造一个多层LSTM网络价格预测模型,使用中国2007—2019年大豆期货价格数据进行了实证研究。结果显示,参数调优对LSTM网络模型预测效果有着较大影响,其中影响较大的主要参数包括迭代次数、学习率、窗口大小和网络层数等;与ARIMA模型、MLP模型、SVR模型相比,LSTM网络模型的预测结果准确性更高,在拟合优度(R-2)上分别提高了1.064%、2.147%、1.674%。LSTM网络模型在价格预测方面的良好表现,为预测大豆期货价格提供了新思路。 相似文献
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货币政策是否应该干预股票资产价格的波动,这是一个广受关注且富有争议的问题.这一问题的关键因素在于正确判断通货膨胀与股票资产价格的关联性.目前,股票收益率与通货膨胀之间存在四种相关关系,即正相关、负相关、不确定以及不相关.我国的资本市场成立较晚,研究股票收益率与通胀率之间关系的成果非常少.所以从我国沪深两市股指与通货膨胀走势、沪深两市股指波动区间、波动频率与通货膨胀间的关系,以及我国沪深两市股票市盈率与通货膨胀关系描述等三方面来揭示股票资产定价与通货膨胀间的关系,为全面认识我国证券市场与通胀间的关系提供实事依据. 相似文献
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基于旅游供给视角,以全国222家5A级景区的门票价格为被解释变量,选取景区交通可达性、旅游地经济水平、旅游地旅游发展水平三个外部因素和景区瞬时容量、资源品质、资源属性三个内部因素为解释变量,构建多元线性回归模型,并进行最小二乘(OLS)估计和相关检验。研究显示:景区门票价格主要受到核心资源属性、旅游地旅游发展水平的影响;景区的可达性、瞬时容量在门票价格模型中未能通过统计性检验,但在理论上与景区门票价格紧密相关;旅游地经济水平与旅游发展水平对景区门票的影响有异曲同工之妙,但旅游发展水平对门票的影响更大。 相似文献
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朱虹 《中国对外贸易(英文版)》2011,(14)
中国股票市场发展至今已有近18年的历史,多年来,由于缺乏有效的风险对冲工具,市场一直处于一条腿走路的尴尬局面.而股指期货的推出必将对股票市场产生重大影响,本文将就此做简要的分析. 相似文献