玉米期货价格突变分析——基于材料变形理论的期价塑性模型量价分析  

Analysis on Price Mutation of Corn Futures ——Based on Analysis on Price and Volume with Plastic Model of Material Deformation Theory

作　　者：丁文斌[1] 王薇薇[2] 

机构地区：[1]湖北工业大学湖北循环经济发展研究中心,湖北武汉430068 [2]湖北省社会科学院,湖北武汉430077

出　　处：《华中农业大学学报（社会科学版）》2012年第2期33-38,共6页Journal of Huazhong Agricultural University(Social Sciences Edition)

基　　金：教育部人文社会科学研究青年基金项目"基于县域产量的农作物保险精算:损失评估;风险区划与费率厘定"(10YJC790147);湖北工业大学博士基金项目"‘解耦’目标下生猪产业循环经济价格支撑体系研究"(BSQD919)

摘　　要：将材料变形理论中的塑性模型引入到期货价格分析中来,借期货价格量变来分析价格突变。以玉米期货为例,通过构建各种塑性模型,实证发现塑性系数检验均能通过,证实了玉米期货价格塑性的存在。在此基础上,选择塑性幂指函数构建锁定量与玉米期货价格突变间的关系式分析玉米期货锁定量与价格间的关系,最终发现当锁定量发生异常波动时,在锁定量由异常波动段的最低点重新回归0.8时,之后均会出现一波价格的突变行情,价格变化绝对值均在5%以上。This paper introduces plastic model of material deformation theory to analysis on futures price in order to analyze mutation of the price.Taking corn futures for example,this paper,through building a variety of plastic models,finds that the coefficient of plastic examinations can pass smoothly,and existence of plastic in corn futures prices is also confirmed.Consequently,this paper chooses exponential function to build relationship between lock amount and futures prices so as to ananlyze their corresponding relations.Finally,this paper finds that when locked amount in the lowest point of the abnormal fluctuations returns to 0.8 on the occurrence of abnormal fluctuations in the amount of lock,there will have a mutation of the market price with price change in the absolute value of more than 5%.

关 键 词：玉米期货 价格突变 塑性模型 幂指函数 锁定量 

分 类 号：F830.9[经济管理—金融学]