| 期货交易与实物交割关系实证研究与交易头寸控制模型 |
| |
| 引用本文： | 张宗成,苏振华.期货交易与实物交割关系实证研究与交易头寸控制模型[J].华中科技大学学报(社会科学版),2003,17(1):63-67. |
| |
| 作者姓名： | 张宗成 苏振华 |
| |
| 作者单位： | 华中科技大学,经济学院,湖北,武汉,430074 |
| |
| 基金项目： | 国家自然科学基金项目 (70 172 0 46) |
| |
| 摘 要： | 章从交割率计算、持仓量、交易头寸集中水平与实物交割关系入手，实证检验了二的内在高度相关性，指出风险监控应以实物交割安全为中心。要确保实物交割安全，不仅要从交割环节，更应从交易环节做起。并在交易环节构建了以实物交割安全为核心的交易头寸动态控制模型。
|
| 关 键 词： | 实物交割 交割率 持仓量 头寸集中水平 风险监控 |
| 文章编号： | 1671-7023(2003)01-0063-05 |
| 修稿时间： | 2002年7月2日 |
The Empirical Study of Futures Trading and Practical Delivery Relationships and the Trading Positions Control Model |
| |
| ZHANG Zong cheng,SU Zhen hua.The Empirical Study of Futures Trading and Practical Delivery Relationships and the Trading Positions Control Model[J].Journal of Huazhong University of Science and Technology(Social Science Edition),2003,17(1):63-67. |
| |
| Authors: | ZHANG Zong cheng SU Zhen hua |
| |
| Abstract: | This article examined the high relativity between futures trading and practical delivery through calculating the delivery rate, empirically analyzing open positions, its concentration level and practical delivery relationships. It pointed out that the risk control center must be getting the practical delivery safety. To insure the practical delivery safety, it should be done from not only the delivery stage, but also the trading stage. Finally, was the trading positions control model based set up on the above research |
| |
| Keywords: | practical delivery delivery rate open positions positions concentration level risk control |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
