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近些年,我国大连商品期货交易所的大豆类期货在国际农产品期货市场上已经站在了领先的地位。本文将使用基于风险价值的动态保证金算法,分别计算黄大豆一号、豆粕、豆油三种产品的保证金理论水平。然后带入大豆提油套利分析出的三种产品间的价格关系,比较理论上大豆类产品间保证金水平与大商所实际交易的大豆类产品保证金水平的差异,分析实际与理论存在差异的原因,以及对我国期货政策的影响。
In recent years, China’s soybean futures in Dalian Commodity Futures Exchange have already taken a leading position in the international agricultural futures market. This article will use the dynamic margin algorithm based on the VaR to calculate the theoretical level of the margin for three products, namely, Soybean One, soybean meal and soybean oil. Then bring the price relationship between the three products analyzed by soybean oil arbitrage, and compare the difference between the level of margin between theoretically soybean products and the margin level of soy products actually traded by the DCE, and analyze the reasons for the differences between the actual and the theoretical ones , As well as the impact of our futures policy.