期刊文献+

期货交易与实物交割关系实证研究与交易头寸控制模型 被引量:5

The Empirical Study of Futures Trading and Practical Delivery Relationships and the Trading Positions Control Model
下载PDF
导出
摘要 文章从交割率计算、持仓量、交易头寸集中水平与实物交割关系入手 ,实证检验了二者的内在高度相关性 ,指出风险监控应以实物交割安全为中心。要确保实物交割安全 ,不仅要从交割环节 ,更应从交易环节做起。 This article examined the high relativity between futures trading and practical delivery through calculating the delivery rate, empirically analyzing open positions, its concentration level and practical delivery relationships. It pointed out that the risk control center must be getting the practical delivery safety. To insure the practical delivery safety, it should be done from not only the delivery stage, but also the trading stage. Finally, was the trading positions control model based set up on the above research
出处 《华中科技大学学报(社会科学版)》 2003年第1期63-67,共5页 Journal of Huazhong University of Science and Technology(Social Science Edition)
基金 国家自然科学基金项目 (70 172 0 46)
关键词 实物交割 交割率 持仓量 头寸集中水平 风险监控 practical delivery delivery rate open positions positions concentration level risk control
  • 相关文献

参考文献2

  • 1安妮·派克 杰弗利·威廉斯.期货交割[M].北京:中国财政经济出版社,1998..
  • 2姬广玻.期货市场风险控制论[M].北京:中国财政经济出版社,2001..

共引文献2

同被引文献61

  • 1郑大伟,于乃书,张屹山.期货交易中的投机套利模型[J].吉林大学社会科学学报,1998,38(5):73-75. 被引量:4
  • 2吴冲锋,何勇,李卫东.期货价格及其模型初探[J].系统工程理论方法应用,1994,3(4):70-75. 被引量:6
  • 3崔迎秋.期货实物交割的性质新论[J].特区经济,2006(7):357-358. 被引量:1
  • 4郭晓利 李政.关于期货市场操纵问题的比较研究[N].期货日报,2002—11-06.
  • 5Kyle. A. 1985. A Theory of Futures Market Manipulations[M] . The Industrial Organization of Futures Markets. Lexington, MA: Lexington Books.
  • 6Pirrong, S.C., 1993. Manipulation of the Commodity Futures Market Delivery' Process[J]. The Journal of Business, 66:335 -369.
  • 7Paul L. Fackler, 1993. Delivery and Manipulation in Futures Markets [J]. The Journal of Futures Markets, 13:693 -702.
  • 8Pirrong, Roger, Philp, 1994. Multiple Delivery Points, Pricing Dynamics, and Hedging Effectiveness in Futures Markets For Spatial Commodities[J]. The Journal of Futures Markets, 14:545 -573.
  • 9Greenstone, 1981. The Coffee Cartel: Manipulation in the Public Interest[J]. The Journal of Futures Markets, 1:3 - 16.
  • 10C. L. Gilbert, 1996. Manipulation of Metals Futures: Lessons from Sumitomo[EB/OL] . Queen Mary & Westfield College, University of London.

二级引证文献33

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部