我国本土气温指数期货产品的研发设计——源于京津冀“首都经济圈”核心功能区的气温数据  

Design of Domestic Temperature Index Futures in China:Based on Temperature in the Core Functional Area of Beijing-Tianjin-Hebei“Capital Economic Circle”

作　　者：李竹薇[1] 田颖楠 韩奕娆 刘瀚文 LI Zhuwei;TIAN Yingnan;HAN Yirao;LIU Hanwen(Dalian University of Technology,Dalian 116024,China)

机构地区：[1]大连理工大学,大连116024

出　　处：《中国证券期货》2024年第2期4-17,共14页Securities & Futures of China

基　　金：国家自然科学基金重点项目“大数据环境下的微观信用评价理论与方法研究”(项目批准号:71731003);国家社会科学基金重大项目“宏观经济稳增长与金融系统防风险动态平衡机制研究”(项目批准号:19ZDA094);国家自然科学基金项目“系统性风险对技术创新的影响:基于风险分层与交叉传染的视角”(项目批准号:71971046);教育部人文社科基金项目“多层级市场网络结构视域下我国大宗商品衍生市场的特征测评与系统优化研究”(项目批准号:23YJA790013)。

摘　　要：我国幅员辽阔,对天气变化非常敏感,迫切需要对天气风险进行有效管理,以消除或减少天气风险对各行业的不利影响。从产品研发设计视角出发,以京津冀“首都经济圈”核心功能区为例,参考国外成熟产品,对我国本土气温指数期货产品进行合约设计和模拟定价,根据行业需求阐述产品的应用价值,提出产品在天气风险管理中的显著作用。研究贡献有,搭建起我国本土气温指数期货产品的研发体系;基于国外成熟市场规则构建出符合我国国情的气温指数期货产品标准化合约框架;运用ARMA模型构建出精确度高的气温预测模型;采用蒙特卡罗模拟法制定出气温指数期货两款产品价格;明确产品的应用推广需求和风险管理作用。China is very sensitive to the weather change because of its vast territory.It is urgent to manage the weather risk effectively to eliminate or reduce the adverse effects of weather risk on various industries.From the perspective of product design,this paper takes the core functional zone of Beijing Tianjin Hebei“capital economic circle”as an example,and takes the mature products abroad as an example to design and simulate pricing the domestic temperature index futures products.According to the needs of the industry,the application value of the products is expounded,and the significant role of the products in the weather risk management is proposed.The research contribution is to build up the research and development system of domestic temperature index futures products;Based on the mature market rules of foreign countries,the standardized contract framework of the futures products of temperature index is established in line with the national conditions of our country;The temperature prediction model with high accuracy is built by ARMA model;The price of two products of temperature index futures was determined by Monte Carlo simulation;Define the application and promotion requirements and risk management function of the products.

关 键 词：天气风险 气温指数期货 京津冀核心功能区 ARMA模型 蒙特卡罗模拟 

分 类 号：F83[经济管理—金融学]