| 基于预期理论框架的农产品期货基差行为 |
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| 引用本文： | 易蓉,张文,陈冲,汪寿阳.基于预期理论框架的农产品期货基差行为[J].系统工程理论与实践,2010,30(11):1954-1959. |
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| 作者姓名： | 易蓉 张文 陈冲 汪寿阳 |
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| 作者单位： | 1. 江西财经大学 金融与统计学院, 南昌 330013;2. 中国科学院研究生院 管理学院, 北京 100190;3. 中国科学院 数学与系统科学研究院, 北京 100190 |
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| 基金项目： | 国家自然科学基金委员会创新研究群体基金，国家自然科学基金，教育部人文社会科学研究项目基金 |
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| 摘 要： | 以研究农产品期货基差动态调整过程为目的,根据在预期理论框架下期货价格等于未来现货价格无偏估计值的理论前提,基差与现货价格的关系可以由状态空间模型来识别.结合农产品价格的季节性和均值复归性的两大特性,首先建立现货价格的状态转移方程,然后基于预期理论框架推导出基差的状态量测方程,构造状态空间模型,从现货价格提供的信息来推断基差动态调整过程,最后以郑州强麦为例进行了实证分析.
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| 关 键 词： | 基差 预期理论 状态空间模型 农产品随机价格模型 |
| 收稿时间： | 2008-09-16 |
Agricultural futures basis behaviours basing on expectations theory |
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| YI Rong,ZHANG Wen,CHEN Chong,WANG Shou-yang.Agricultural futures basis behaviours basing on expectations theory[J].Systems Engineering —Theory & Practice,2010,30(11):1954-1959. |
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| Authors: | YI Rong ZHANG Wen CHEN Chong WANG Shou-yang |
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| Institution: | 1. School of Finance & Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China;2. School of Management, Graduate University of Chinese Academy of Sciences, Beijing 100190, China;3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China |
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| Abstract: | The purpose of the study is to estimate the dynamic process of the basis change of agricultural futures.Since futures price equals to the unbiased estimation of spot price under the expectations theoretical framework,the relationship between basis and spot price can be identified by the state space model. In this study,basing on the seasonal and mean-reversion nature of agricultural price,the state transition equation of spot price is initially established.The measurement equation of basis is deduced under ... |
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| Keywords: | basis expectations theory state space model stochastic model for agricultural price |
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