考虑季节性和跳跃性因素的天然气期货定价模型及实证研究  

Pricing Model of Futures Considering Seasonality and Jump Behavior of Natural Gas Price and Its Empirical Analysis

作　　者：邢文婷 吴胜利[3] XING Wen-ting;WU Sheng-lia(Research Center for Economy of Upper Reaches of the Yangtse River, Chongqing Technology and Business University, Chongqing 400067 ,China;College of Management,Chongqing Technology and Business University,Chongqing 400067,China;College of Traffic and Transportation,Chongqing Jiaotong University,Chongqing 400074,China)

机构地区：[1]重庆工商大学长江上游经济研究中心,重庆400067 [2]重庆工商大学管理学院,重庆400067 [3]重庆交通大学交通运输学院,重庆400074

出　　处：《系统工程》2018年第2期39-46,共8页Systems Engineering

基　　金：重庆工商大学团队项目(950617005);重庆工商大学重点科研平台开放项目(950216032);重庆工商大学高层次人才科研启动项目(950317005);国家自然科学基金资助项目(51705052);重庆市教育委员会科学技术研究项目(KJ1705141)

摘　　要：针对天然气期货价格受季节性和跳跃性因素影响的问题,本文考虑了季节性和跳跃性因素,建立了具有季节性和跳跃性的天然气期货定价模型。采用高斯化滤波器处理非高斯变量。为了验证模型的实用性,利用纽约商品交易所(NYMEX)的天然气期货日常价格数据对模型进行实证分析。结果表明,天然气价格季节性周期为一年;天然气期货价格短期和中期偏离具有较强的均值回复性;天然气期货价格具有跳跃性,且向上跳跃的概率较大;投资者要求天然气价格的非跳跃随机波动的风险溢酬为正;与传统的模型相比,考虑价格季节性和跳跃性的期货定价模型具有更好的拟合效果和预测能力。For the problem that the natural gas futures prices are affected by the seasonality and jump. Taking into account of the seasonality and jump of natural gas prices, this paper proposes a novel pricing model of natural gas futures, and deals with Non-Gaussian distribution variables by using Gaussian filter. The models are tested with the natural gas futures daily price data traded at the New York mercantile exchange （NYMEX）, and the empirical studies indicate that the natural gas price has stochastic seasonality, and the seasonal period is one year;there is strong mean-reversion in the short-term and middle-term deviations; the natural gas price has jump, and the prices tend to jump up rather than down, the positive risk premium are required by the investors for no-jump risk; by comparing with the traditional futures pricing model the proposed model has better goodness of fit and forecasting ability.

关 键 词：天然气期货 高斯化滤波器 季节性因素 跳跃性因素 卡尔曼滤波 

分 类 号：F830[经济管理—金融学]