我国中远期现货电子交易市场的制度性缺陷分析

近年来,我国出现了既不同于现货交易市场也不同于期货市场的中远期现货电子交易市场。在商品金融化背景下,由于这种市场的制度性缺陷,对市场秩序和投资者利益产生了不利影响。文章在总结我国中远期现货电子交易市场发展现状的基础上,剖析了目前存在的制度性缺陷,并据此给出了促进中远期现货电子交易市场发展的对策建议。     

受贿罪本质视野下的利益要件检视

以受贿罪的本质检视我国受贿罪中"为他人谋取利益"的规定,可以发现这一要件在受贿罪中发挥着不可或缺的作用。然而利益要件所担当的重要功能,不仅使刑法理论对这一要件的解读陷入了困境,也造成了司法适用的混乱。通过对比国外的立法经验,我国应弱化利益要件的功能,使其逐渐淡出刑法规范;丰富职务要件的内涵,使其承担起受贿罪的理论使命。     

交易所交易基金与股指期货关系探讨

通过研究交易所交易基金与股指期货的异同揭示了两者之间的互动关系。使投资者(机构)在交易所交易基金的投机或套利操作中，易于把握股指期货的低风险套利操作机会，为投资者(机构)作出投资决策提供了重要的参考。     

Study on the Investment Behavior under Transaction Costin Futures Market

1　IntroductionAfter10yearsdevelopment,thestockmarketsofchinaarewaitingtoseestock-indexfu-turesinthenewcentury.Itisofgreatimportantforbothsmallinvestorsandlargeinvest-menthousestoadjusttheirbehaviorincasetheyenterintomarketswithnewinstruments.Inrecentyears,speculatingwithfutureswasdiscussedinsomepapers[1～4],andtheresultsachievedroutinelyholdtheassumptionsasnotransactioncosts(TC),nodifferentbetweenborrowingandlandingrates,andalltradingprofitsbeingsubjecttothesametaxrate.Themainproblemisthatne…     

伦敦金属交易所与上海期货交易所铜价格发现过程

具有相同标的资产铜期货合约的伦敦金属交易所(LME)与上海期货交易所(SHFE)之间的竞争日趋激烈,对比分析了这两个市场在铜价格发现过程中的贡献度。结果表明,价格发现主要由LME决定,随着SHFE期铜市场的发展和完善,它在价格发现过程中的地位也得到了逐步提高。     

噪声信号条件下证券市场羊群行为模型

证券市场羊群行为指投资者面临不确定信息时，忽略自有信息，模仿他人决策．针对目前中国证券市场羊群行为较重，市场主力接收的信号具有不确定性的实际情况，建立市场信号有噪声时的羊群行为模型．通过参数假设，对模型求解，分析跟风行为对市场价格波动的影响．     

中国商品期货市场过度反应的实证研究

通过事件研究法,实证检验了中国商品期货市场对重大信息的过度反应现象.结果表明,我国商品期货市场对重大利好或利空消息不存在过度反应现象,但1个月期铝和3个月天胶期货合约对重大利好消息有价格延迟现象,其余期货合约对重大利好消息、所有期货合约对重大利空消息都没有出现价格延迟现象.     

Probability distributions,trading strategies and leverage: an application of Gaussian mixture models

The purpose of this paper is twofold. Firstly, to assess the merit of estimating probability density functions rather than level or classification estimations on a one‐day‐ahead forecasting task of the EUR/USD time series. This is implemented using a Gaussian mixture model neural network, benchmarking the results against standard forecasting models, namely a naïve model, a moving average convergence divergence technical model (MACD), an autoregressive moving average model (ARMA), a logistic regression model (LOGIT) and a multi‐layer perceptron network (MLP). Secondly, to examine the possibilities of improving the trading performance of those models with confirmation filters and leverage. While the benchmark models perform best without confirmation filters and leverage, the Gaussian mixture model outperforms all of the benchmarks when taking advantage of the possibilities offered by a combination of more sophisticated trading strategies and leverage. This might be due to the ability of the Gaussian mixture model to identify successfully trades with a high Sharpe ratio. Copyright © 2004 John Wiley & Sons, Ltd.     

期货市场在农业现代化进程中的作用研究

近年来,我国工业化、城镇化进展迅速,但农业现代化明显滞后,为实现“三化”协调发展,应加速推进农业现代化.期货市场具有风险规避和价格发现的功能,也是一个重要的信息中心.在农业商品化和市场化条件下,通过引导企业、农民合作组织以及农户以各种形式参与利用期货市场,利用其风险管理和对未来价格的预期功能,能够有效推动农业适度规模经营、调整农业结构、增加农民收入、促进农业产业化和农民组织化、培育新型农民等,以此推动农业现代化进程.     

Exchange rate forecasting and the performance of currency portfolios

We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates: the euro versus the US dollar, the British pound, and the Japanese yen. We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single currencies and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, two trading strategies, mean squared error‐based composite forecasts, and different forecast horizons. Our results indicate that there are clear benefits of integrating exchange rate forecasts from state‐of‐the‐art econometric models in currency portfolios. These benefits vary across investor preferences and prediction horizons but are rather similar across trading strategies.