| 基于卡尔曼滤波的期货价格仿射期限结构模型 |
| |
| 引用本文： | 王苏生,王丽,李志超,向静.基于卡尔曼滤波的期货价格仿射期限结构模型[J].系统工程学报,2010,25(3). |
| |
| 作者姓名： | 王苏生 王丽 李志超 向静 |
| |
| 作者单位： | 1. 哈尔滨工业大学深圳研究生院,广东,深圳,518055
2. 深圳市社会科学院经济研究所,广东,深圳,518028 |
| |
| 摘 要： | 由于受国内外多种因素共同影响,期货价格在短时间内变动较大,为准确拟合与预测期货价格,本文根据期货价格的行为特征,提出一个n因素的仿射期限结构模型,并基于卡尔曼滤波和极大似然法,以沪铜日结算价的面板数据为样本时期货价格的期限结构进行实证分析.结果表明,该仿射模型对沪铜是适用的,而且模型中因素数目越多,模型拟合与预测能力越强,其中,2因素的仿射模型可以较为准确地模拟期货价格的期限结构,3因素的仿射模型可以较为准确地模拟和预测期货价格的期限结构.
|
| 关 键 词： | 期货价格 仿射 期限结构 卡尔曼滤波 |
Affine term structure models of futures prices based on Kalman filter |
| |
| WANG Su-sheng,WANG Li,LI Zhi-chao,XIANG Jing.Affine term structure models of futures prices based on Kalman filter[J].Journal of Systems Engineering,2010,25(3). |
| |
| Authors: | WANG Su-sheng WANG Li LI Zhi-chao XIANG Jing |
| |
| Institution: | WANG Su-sheng1,WANG Li1,LI Zhi-chao1,XIANG Jing2(1.Shenzhen Graduate School,Harbin Institute of Technology,Shenzhen 518055,China,2.Institute of Economics,Shenzhen Academy of Social Sciences,Shenzhen 518028,China) |
| |
| Abstract: | Futures prices often fluctuate comparatively and violently in short times because of many factors at home and abroad.In order to fit and forecast the prices of futures contracts,this paper puts forward an n-factor affine term structure model in terms of the behavioral character of futures prices.This paper investigates the term structure of futures by taking the panel data of copper futures prices of Shanghai Futrues Exchange(SHFE) as sample and using Kalman filter and maximum likelihood method.The results ... |
| |
| Keywords: | futures prices affine term structure Kalman filter |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
