| 中国期货市场逼仓风险预警模型研究 |
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| 引用本文： | 鲁姣,阎春宁,候卜魁. 中国期货市场逼仓风险预警模型研究[J]. 价值工程, 2008, 27(9) |
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| 作者姓名： | 鲁姣 阎春宁 候卜魁 |
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| 作者单位： | 上海大学国际工商与管理学院,上海,200444;房地产学院,上海,200444 |
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| 摘 要： | 围绕中国期货市场的逼仓风险预警,选取期货价格波动率、持仓量波动率和收益率三个指标,通过函数加权得到了一个综合衡量逼仓风险的信号值,并建立了预警期货市场逼仓风险的模型。以大连商品交易所的豆粕m0409合约的243个交易数据为总样本,举例说明了模型的求解过程和运用效果;并通过郑州商品交易所强麦Ws709合约数据,证明了该预警模型的有效性。
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| 关 键 词： | 期货市场 逼仓风险 预警模型 逼仓判定 |
To Study on Pre-warning Model of Corner Risk in Chinese Futures Market |
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| Lu Jiao,Yan Chunning,Hou Bokui. To Study on Pre-warning Model of Corner Risk in Chinese Futures Market[J]. Value Engineering, 2008, 27(9) |
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| Authors: | Lu Jiao Yan Chunning Hou Bokui |
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| Abstract: | With a view to the corner risk of Chinese futures market,the present research begins with fluctuation risk of futures price,fluctuation risk of hold,earning rate in futures trade.By introducing the weighted function with the three risk index and combing the signal of corner risk to build the pre-warning model of corner risk.The study select 13 samples from 243 effective samples in soul meal contract m0409 of Dalian Commodity Exchange to illustrate the course of judging interval and the course of the corner judgment.The conclusion was exemplified by the contract Ws709 of Zhengzhou commodity Exchange. |
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| Keywords: | futures market corner risk pre-warning model discriminate of corner |
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