| 期货交易中识别过度投机的数量方法 |
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| 引用本文： | 马承霈. 期货交易中识别过度投机的数量方法[J]. 南京财经大学学报, 2006, 0(1): 57-63 |
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| 作者姓名： | 马承霈 |
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| 作者单位： | 南京财经大学,江苏南京210003 |
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| 基金项目： | 本文是国家自然科学基金《我国期货市场价格波动及过度投机行为研究》（项目号70441011）子课题的部分摘要. |
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| 摘 要： | 如何用数量方法识别期货交易中过度投机的存在及其存在的概率的大小，是国外刚刚开始探索、国内极少研究的问题。这是国内期货界和领导层十分关切的问题。本课题从实际案例出发，探索了22种方法；用EViews编制了5个计算机监测程序，报告过度投机存在的概率。本文仅仅摘要介绍其中探索的5种数量识别方法。
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| 关 键 词： | 过度投机 期货价格异常 出现概率 回报率 GARCH |
| 文章编号： | 1672-6049（2006）01-0057-07 |
| 收稿时间： | 2005-11-01 |
The Quantitatively Identifying Methods on Excessive Speculation in Futures Trading |
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| MA Chengpei. The Quantitatively Identifying Methods on Excessive Speculation in Futures Trading[J]. Journal of Nanjing University of Finance and Economics, 2006, 0(1): 57-63 |
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| Authors: | MA Chengpei |
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| Affiliation: | Nanjing University of Finance and Economics, Nanjing 210003, China |
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| Abstract: | How to quantitatively identify the existence of excessive speculation and their appearing probability that is a problem about which is recently explored abroad and seldom researched domestically. It is an issue which the futures society and leaders are very concerned. This project explored 22 identifying methods by practical example. Some of them failed. Some of them are success. And I edited 5 EViews programs to identify the excessive speculation and report the appearing probability. This paper only partly introduces 5 methods of them. |
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| Keywords: | Excessive speculation Extraordinary futures price Appearing probability Return rate GARCH |
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