主 题: Volatility, Liquidity, and Pricing Models in Commodity Futures Markets
内容简介: The first part of the talk will focus on policy impact on volatility dynamics in commodity futures markets: Evidence from China. We scrutinize the impact of a series of new policies on stock index futures trading, which have recently been enacted by the Chinese government. We pay particular attention to the way in which these have influenced commodity market volatilities and how their impact on liquidity has affected volatility more generally. Our results reveal a novel interaction between the new government policy and market forces which drive volatilities in commodity markets.
The second part of the talk is about pricing liquidity into futures. Accurate pricing is important in futures markets but is hard in markets affected by uncertain liquidity. With liquidity risk, the standard modelling assumption of linear spot-futures parity no longer holds and the relation between spot and futures prices becomes nonlinear. We propose a new model introducing a novel illiquidity multiplier that captures the degree of the illiquidity impact. We calibrate with oil futures data and benchmark against standard models, demonstrating both spot and futures price prediction with low forecast errors. We also discover a nonlinear coupling effect between the spot liquidity level and the maturity of the corresponding futures.
报告人: 章勇敏 钱江学者特聘教授 教授 博导
时 间: 2018-03-09 14:00
地 点: 位育楼117
举办单位: 金融学院 经济与金融研究院 科研部