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本文采用静态和滚动主成分分析的方法对最具代表性的9个品种商品期货价格期限结构进行了分析,得出我国商品期货价格期限结构变动的3个主要特征:曲线的平移、斜率的变化以及曲率的变化。在揭示不同变动方式的信息价值的基础上,本文提出多头、多头或者空头、多空平衡3种交易策略,并通过构建两个商品组合与基准持有策略收益进行了比较分析。结果表明,基于商品期货价格期限结构的隐含信息而构建的交易策略收益显著超过基准持有策略的收益。这对于交易者制定正确的交易策略具有重要的意义。
In this paper, the static and rolling principal component analysis method is used to analyze the most representative nine commodity futures price deadline structure, and the three main characteristics of the period structure of commodity futures price in our country are obtained: the translation of the curve, the change of slope As well as changes in curvature. On the basis of revealing the information value of different changes, this paper proposes three kinds of trading strategies: long, long or short, long and short trade balance, and compares and analyzes the benefits of constructing two commodity groups and the benchmark holding strategy. The results show that the trading strategy revenue constructed based on the implicit information of the maturity structure of the commodity futures price significantly exceeds the return of the benchmark holding strategy. This is important for traders to make the right trading strategy.