Research on Modes of Fluctuation in Natural Rubber Futures Prices in China
This article examines the factors of fluctuations for natural rubber futures prices in China and studies the effects of these factors on futures price curve.First,this article presents an improved method on the basis of previous research.Next,with the daily data for natural rubber futures price contracts traded at the Shanghai Futures Exchange (SHFE),five continuous futures contracts are constructed.By applying the principal components analysis,it is concluded that a three-factor model represents the stochastic movement of futures prices fluctuations.Finally,the empirical results show that the model fits very well.
fluctuation shift function reduced shift coefficient
Susheng Wang Li Wang Zhichao Li
Shenzhen Graduate School,Harbin Institute of Technology,P.R.China,518055
国际会议
长沙
英文
598-604
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）