期货市场量价分析法的短期预测力检验——基于久期理论的分析  

Test on the Short-term Validity of Futures Market Volume and Price Analytical Method——Based on the Duration Theory

作　　者：王锋[1] 

机构地区：[1]中国矿业大学管理学院,江苏徐州221116

出　　处：《技术经济与管理研究》2011年第10期84-87,共4页Journal of Technical Economics & Management

基　　金：中国矿业大学社会科学研究基金项目:"我国燃料油期货市场量价久期研究"(编号:JGJ101483)

摘　　要：久期作为重要的市场微观结构信号,对于改善资产价格波动预测准确性和流动性风险评价具有重要的作用。本文首先提出了反映价格、成交量和持仓量共同变化的共同久期概念,并分析了不同变量高频数据所具有的日内效应特征。然后,在久期理论框架下构建了扩展的二元选择模型,对上海燃料油期货市场量价分析法的短期预测力进行了实证检验。结果表明,期货市场量价分析法中一半以上的经验法则证明是有效的,说明量价分析法在短期价格预测中具有较高的预测力,是值得信赖的重要技术分析方法之一。Duration is a important market microstructure signal, it has important roles to improve forecast accuracy of assets price volatility and the evaluation of liquidity risk. First, this paper brought forward the concept of joint duration for reflecting the joint variation among price, trading volume and open interest volume, and analyzed the intraday effect character of high frequency data of different variable. Then, this paper built the extended binary choice model under the duration theory frame, and empirical tested the short-term predictability of volume and price analytical method in Shanghai fuel oil futures market. The research results indicate that over half of the empirical rules are effective, which illuminates that volume and price analytical method has the high predictability in short-term price forecasting, and it is one of important and worth trusting technical analysis method.

关 键 词：燃油期货 久期理论 预测市场 价格变化 

分 类 号：F830.9[经济管理—金融学]