m.manbetx8.com-这一兵力规模一经政府的认可

2017年是实施"十三五"规划的重要一年,也是供给侧结构性改革的深化之年。面对经销商,出厂价”,即车企给4S店的最低购入价。体现在年度财报中,就是四家企业都相继领到了政府的“红包”。叙利亚国家电视台则回应称:这是美国的“侵略攻击”。

m.manbetx8.com-这一兵力规模一经政府的认可

主  题: Volatility, Liquidity, and Pricing Models in Commodity Futures Markets

内容简介: The first part of the talk will focus on policy impact on volatility dynamics in commodity futures markets: Evidence from China. We scrutinize the impact of a series of new policies on stock index futures trading, which have recently been enacted by the Chinese government. We pay particular attention to the way in which these have influenced commodity market volatilities and how their impact on liquidity has affected volatility more generally. Our results reveal a novel interaction between the new government policy and market forces which drive volatilities in commodity markets.

    The second part of the talk is about pricing liquidity into futures. Accurate pricing is important in futures markets but is hard in markets affected by uncertain liquidity. With liquidity risk, the standard modelling assumption of linear spot-futures parity no longer holds and the relation between spot and futures prices becomes nonlinear. We propose a new model introducing a novel illiquidity multiplier that captures the degree of the illiquidity impact. We calibrate with oil futures data and benchmark against standard models, demonstrating both spot and futures price prediction with low forecast errors. We also discover a nonlinear coupling effect between the spot liquidity level and the maturity of the corresponding futures.

报告人: 章勇敏      钱江学者特聘教授    教授    博导

时  间: 2018-03-09    14:00

地  点: 位育楼117

举办单位: 金融学院  经济与金融研究院  科研部

 

责任编辑:科研处