指数期货合约定价模型及其实证研究——对恒生指数期货合约定价的实证分析

指数期货是 2 0世纪 80年代产生于美国的一种金融衍生工具 ,目前已经成为海外证券市场中最重要、发展得最成功的金融衍生工具之一 ,无论是交易品种 ,还是市场规模 ,都呈急剧扩大之势。 1993年 ,我国曾在海南进行过指数期货交易的试点 ,但当时市场条件不够成熟 ,使该产品的试验中途夭折。我国证券市场经过十多年的快速发展 ,目前已经达到了相当的规模 ,基本具备了进行指数期货交易的条件 ,市场也对此提出了较强列的现实要求。指数期货具有规避证券市场系统性风险 ,实现套期保值的功能作用。指数期货合约定价问题是指数期货合约设计中的一个至…     

人才指数的编制及其应用研究

现代经济的发展越来越依靠人才资源的开发和利用,人的因素已经成为一国或一地区经济腾飞的关键因素。如何综合测度和反映一国或一地区人才数量及其质量的动态演变,就成为人们关注的问题之一。本文旨在构造人才指数并进行相关因素的分析,以及一国或一个地区在时间上的纵向比较分析。本文编制的人才指数可说明,人才指数越大,说明人才平均素质提高程度越快。反之,人才指数越小,则人才平均素质提高程度就越慢。     

一类指数问题的进一步研究与实证分析

国家比较是国际经济统计的重要领域。通过国际经济比较 ,可以了解世界各国社会经济实力和发展道路、人民生活水平以及变动趋势 ,了解我国在世界上的地位以及同外国的差距 ,形成较完整的、符合实际的认识 ,据此对我国 (地区 )的发展战略提出合理的建议 ,为党和政府的宏观决策提供依据。在国际双边及多边比较中 ,比较方法的选取十分重要 ,它是国际比较的一个重要环节。Ｇｅａｒｙ Ｋｈａｍｉｓ方法是联合国组织实施的国际比较项目 (ＩＣＰ)的最主要的加总方法之一。也是联合国ＩＣＰ推荐的由基本类ＰＰＰ综合为ＧＤＰ的ＰＰＰ的方法 ,它在整个…     

广义股价指数的修正方法研究

广义股价指数（简称股价指数）包括股价平均数和狭义股价指数。作为一种应用于股市的价格统计工具,股价指数在编制方法上既具有一般价格指数的共性,又具有自己的特性,修正方法就是股价指数所特有的一种方法。但在股价指数产生一百多年后的今天,其修正方法仍有待完善。     

指数期货套期保值实证研究——以香港恒生指数期货为例

证券投资风险可分为系统性风险和非系统性风险,非系统性风险可以通过分散化投资规避,而系统性风险的规避必须通过参与套期保值交易,在股票现货市场与期货市场上的反向对仲交易而规避.     

西方指数基本公式与工业生产指数的编制

指数是从微观过渡到宏观,综合反映宏观经济的重要统计指标。在国民经济各个领域,为不同目的广泛地应用指数。例如,为编制发展计划和制定政策,检查工业部门的生产活动情况,需要编制工业生产与劳动生产率等指数;为分析市场需求,进行短期预测,搞好工业管理,需要编制按产品分类的生产与出厂价格等指数。在采用“国民经济核算体系”的欧美资本主义国家,编制价格减缩指数,来消除价格变动对国民生产总值、国内生产总值和其他经济     

上海证券市场股价指数析评

股价指数的本质功能是用平均值的变化来描述股票市场的动态演变。随着我国证券市场的迅速发展,出现了各种各样的股价指数。其中颇有影响并实时发布的股价指数主要有两类：一是上海证券交易所的上证综合指数和上证30指数;二是深圳证券交易所的深证综合指数和深证成分股指数。本文就上海证券交易所的股价指数进行分析和评价,并辅之以必要的实证分析,最后提出若干建议。     

采用剔除不同增减因素法编制统计指数的研究

我国现行的统计指数编制方法基本上是从苏联引进的。它的基本形式是总指数,包括综合指数和平均数指数。综合指数是统计实践中最常用的指数,有数量指标指数和质量指标指数两种。采用这一传统的理论和方法,由于所采用的同度量因素的对比基期在时空上的差异,往往会形成两套或更多的指数体系。其中最基本的是编制质量指标指数时,将同度量因素固定在报告期;编制数量指标指数时,将同度量因素固定在基期所形成的体系,我们称它为指数体系Ⅰ;还有另一套,是在编制质量指标指数时,将同度量因素固定在基期,编制数量指标指数时将同度量因素固定在     

试论恢复编制批发价格指数的必要性与方法

In view of the dramatic development of socialist market economy, the author thinks that China should recover the compilation of the whole-sale price indicator in order to reflect the process of overall price change and to analyze the formulation mechanism and fluctuation rule of prices. The author summarizes and analyzes historic practice in China and theories and methods abroad in compiling whole-sale price indicators. Based on this the paper explores the methods of compiling the whole-sale price indicator in China at present.     

地区差异指数的基本要求及编制方法

 地区价格指数又称空间价格指数（Spatial price index),相对于时间价格指数（Temporal price index)来说，它是指一个国家各个地区之间价格的比较，反映各个地区价格水平的差异。地区差价指数有双边和多边之分，计算两个地区之间的差价指数，为双边差价指数；计算两个以上地区之间的差价指数即为多边差价指数。地区差价指数与时间价格指数一样，是重要的宏观经济指标，是国家制定地区经济发展政策、确定地区工资类别的重要决策依据，也可以借此衡量和比较地区之间经济发展水平和居民实际消费水平。目前我国正着手编制不同地区的空间价格指数，以充实我国的物价指数体系。本文试图将国际比较中常用的购买力平价指数编制方法，引用到地区差价指数中，分析地区差价指数的基本要求、编制方法，并评论其优劣。     

中国证券市场股价指数VaR研究

This paper compares the models in Predicting the VaR of stock price indexes in China. Our resultsindicate that the normal model usually underestimate the VaR when given probability is 0.01 or 0.02, andthe weighted normal model usually overestimate the VaR when given probability is 0.04 or 0.05. Thehistorical simulating model and Logistic distribution model are superior to normal model and to weightednomal model in predicting the VaR.     

A second-order fuzzy time series model for stock price analysis

It is difficult to model stock market because of its uncertainty. Many methods have been introduced to tackle these difficulties, in which fuzzy time series has shown its advantages in dealing with fuzzy and uncertainty data. In recent years, many researchers have applied the fuzzy time series to analyze and forecast the stock price, and how to improve the accuracy of forecasting has attracted many researchers. In this paper, the data are first preprocessed and a new way to divide the universe of discourse is given, after which the data are fuzzified applying the triangular membership function, then three-layer back propagation (BP) neural network is established. Finally, the generalized inverse fuzzy number formula is applied to defuzzify the relation obtained with the prediction results. The proposed method is applied to predict the stock price of State Bank of India (SBI) and Dow-Jones Industrial Average (DJIA). The experimental results show that the proposed method can greatly improve the accuracy of forecasting. Furthermore, the proposed method is not sensitive to its parameters.     

铁路运价指数编制方法的探讨

一、编制铁路运价指数的必要性铁路运价是国家价格体系的重要组成部分 ,对铁路发展至关重要 ,对国民经济和社会发展也有广泛影响。长期以来 ,我国铁路运价由于长期在计划经济体制下运作 ,运价方面的基础数据、统计资料和指标不系统、不完整 ,国家价格统计和铁路统计均缺乏反映铁路运价水平变化幅度的指标 ,在研究铁路运价水平变化幅度时常用平均收入率来代替。由于收入率包含非价格因素对铁路运输收入的影响 ,因此收入率指数不能真正反映铁路客货运价水平及其价格变化情况 ,这种状况不能满足运价结构调整的需要 ,也不能适应运输市场供求关系…     

A new approach to stock price modelling and the efficiency of the Italian stock exchange

In this paper, we propose a new model of asset prices which takes account of the investment strategies of three different kinds of agents: the market-makers, who operate rationally on the basis of the asset fundamentals, the smart buy-and-sell agents, who intervene when the prices reach particular levels and the non-smart buy-and-sell agents, who trade infrequently, mainly following psychological motivations. The different behavior of these groups of agents can determine temporary inefficiences on financial markets and we show that, by considering these inefficiences, it is possible to improve forecasting of asset prices.     

An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach

This paper presents an empirical analysis of stochastic features of volatility in the Japanese stock price index, or TOPIX, using high-frequency data sampled every 5 min. The process of TOPIX is modeled by a stochastic differential equation with the time-homogeneous drift and diffusion coefficients. To avoid the risk of misspecification for the volatility function, which is defined by the squared diffusion coefficient, the local polynomial model is applied to the data, and then produced the estimates of the volatility function together with their confidence intervals. The result of the estimation suggests that the volatility function shows similar patterns for one period, but drastically changes for another.     

A note on the true factorial price index

In this note we demonstrate that the true price index obtained through the factorial approach is exact for the Leontief, fixed coefficients utility function.     

A comparative study of series arima/mlp hybrid models for stock price forecasting

ABSTRACT

Series hybrid models are one of the most widely-used hybrid models that in which a time series is assumed to be composed of two linear and nonlinear components. In this paper, the performance of two types of these hybrid models is evaluated for predicting stock prices in order to introduce the more reliable series hybrid model. For this purpose, ARIMA and MLPs are elected for constructing series hybrid models. Empirical results for forecasting three benchmark data sets indicate that despite of more popularity of the conventional ARIMA-ANN model, the ANN-ARIMA hybrid model can overall achieved more accurate results.     

The circular and time reversal tests reconsidered in economic price index theory

In this paper, a generalized definition of the well known economic price index is used to derive some similarities and dissimilarities between statistical and economic price index theory. The relationships between statistical and economic index numbers are analyzed by means of two tests taken from axiomatic (statistical) approaches which can also be formulated in an economic context.