基于文献计量的中国期货市场交易的研究热点分析  

An Analysis of the Research Hotspots of China's Futures Market Based on Bibliometrics

作　　者：刘健[1] 侯文静 LIU Jian;HOU Wenjing(Institute of Economics,Beijing Wuzi University,Beijing 101149,China)

机构地区：[1]北京物资学院经济学院,北京101149

出　　处：《城市学刊》2021年第2期58-66,共9页Journal of Urban Studies

摘　　要：运用Citespace V知识图谱分析软件和文献计量学方法,对2017-2019年期间有关中国期货市场交易策略的研究文献进行可视化分析,研究表明,期货市场交易策略的研究正不断深入并趋于成熟,在套保效率方面,相关学者创新性地比较研究了具有较强相关性品种进行套保效率,为期货市场的未来发展提供了新的方向和新的思路;在量化交易方面,TB量化软件、MACD参数的应用极大地优化了交易结果,协整回归模型也得到了补充和发展;在套保比率方面,学者们通过对马尔可夫制度转换(MRS)模型、自回归跳跃强度(ARJI)趋势模型等进行对比分析,发现Copula-GARCH模型的套期保值比率最小,且相比其他方法,套期保值效率最高。通过对期货市场交易策略进行分析,以更好地实现期货价格发现和套期保值的功能是最为关注的研究主题,在此基础上进行量化交易以实现套利是未来的研究趋势。This paper uses Citespace V and Bibliometrics method to visually analyze the literatures on the trading strategy of China's futures market in 2017-2019.The research on the trading strategy of the futures market is deepening and maturing.On hedging efficiency,relevant scholars have creatively compared and studied the hedging efficiency of varieties with strong correlation,providing new directions and new ideas for the future development of futures market.On quantitative trading,the application of TB quantitative software and MACD parameters has greatly optimized the trading results.The cointegration regression model has also been supplemented and developed,such as time-varying coefficient cointegration regression.In the aspect of hedging ratio,scholars compare and analyze the Markov system transformation(MRS)model and the autoregressive jump strength(ARJI)trend model,and find that copula GARCH model has the smallest hedging ratio and the highest hedging efficiency compared with other methods.Through the analysis of the trading strategy of the futures market,to better realize the function of futures price discovery and hedging is the most concerned research topic of scholars.On this basis,quantitative trading to achieve arbitrage is the future research trend.

关 键 词：期货 交易策略 热点分析 

分 类 号：F407.472[经济管理—产业经济]