期貨交易保證金隨動(dòng)調(diào)整模型研究.pdf

1、大連理工大學(xué)碩士學(xué)位論文期貨交易保證金隨動(dòng)調(diào)整模型研究姓名：劉軼芳申請學(xué)位級(jí)別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計(jì)指導(dǎo)教師：遲國泰20050614塑冀吏塹窯墨堡堡壘墮墊塑些堡型笆堂—～——TheResearchOHMovingAdjustModelofMarginsinFuturesTradeAbstractAbstract：Inthispaper，basedOntheideaofEWMAmodelandGARCHmodel，combinedt

2、heideaofSPANsystem，usingtheimportantfunctionsofthemargininthefuturemarketsaStheconsiderationfactorswhichremedythelargestloseintomorrowandgu盆lanteethetrader啪lingnormallymakingllseofvenmreadministermethodsofVaRAndbuildthef

3、oreeaSIi：ngmodel0f讎ftltlⅡespricebasedOnGARCHEWMABasedorltheforecastingofthealterationextentandtheratioforthepriceofcontracts，usingtheNewtonInterpolationtObuildthefunctionoffluctuatecoefficientandthemovingmarainmodelFinal

4、lycombiningtheforecastingmodeloffuturespriceandthefunctioltoftheFluctuantCoefficientandbuildingthemargmmovingmodelforthefuturesmarketItcoulddeterminemoreproperratioofmarginwhilesatisfyingtheriskcoefficientandtheconfidenc

5、elevel，andprovideang％vmethodfordeterminethemarginlevelinthefuturesmarketThecontributionsandcharacteristicsofthepaperare：1)ItmadeIlSeoftheGARCHmodeltodeterminethekeyparameterandaaenuafionfactorofEWMAmodel，andthiswillsolve

6、theproblemwhichassignthedecayfactorsbypersoncausingthemodelwithstrongfagtorsofmanmade21WiththeaidofNewtonInterpolationmethod，itobtainthefluctuantcoefficientfimctionandthecurvefi】n砸onforthedegreeofchangeofthefutureconlrac

7、tspriceThismodelsolvestheproblemthatdeterminessequencefunctiononlyinthewayoflinearfit3)CombiningtheforecastingmodeloffuturespnceandthefunctionoftheFluctuantCoefficientandbuildingthemarginmovingmodelforthefllttlEeSmarketI

8、tisassuringstrongerabilityforc01Intermeasuretheriskwhilereducingtothelowestpossiblelevelofmargin4)FoundoutthewrongsupposeintheHkex，whichtheysupposetheRVobeyt0betheNormalSchoolandthroughthedemonstrationanalyzeitpointthatt

9、hemodeliSunreasonabletoacertainextent51Menstruatethe16contractsofsoybeanandsoymealoftheirdecayfactorrespectivelyItiseasytofindthatthedecayfactorisnotabledifferentfromdifferentlimeordifferentkindsTherefore，itsolvestheprob

10、lemthatadoptsonechangelessmodeltoforecastthedifferentfuturecommoditiesThismakestheforecastingmodelmorepertinence61TestifiedtheforecaStingmodelreasonabilitybythewaybothinriskpenetrateandinmarginlevelItcouldreducethemargin