Principal Factor Analysis on Term Structure of Copper Futures Prices in China

摘要：

This article compares two principal factor analysis methods by taking the daily data for futures prices from 2000 to 2009 as sample. First, this article introduces the principal factor analysis methods. Next, the daily data of copper futures prices in China are analyzed, and are tested the stationarity by ADF method. Then, by applying principal factor analysis to the data, it is concluded that these factors can be identified as shifts in the level, the slope, and the curvature of the term structure of futures prices respectively. Finally, the result shows that principal component analysis method can describe the term structure of copper futures prices better than function model method.

关键词： principal factor principal component analysis method: function model method

作者: Susheng Wang Li Wang

作者单位: Shenzhen Graduate School Harbin Institute of Technology Shenzhen, Guangdong Province, China

会议类型: 国际会议

会议名称: 2010 Second Asia-Pacific Conference on Information Processing(2010年第二届亚太地区信息处理国际会议 APCIP 2010)

会议地点: 南昌

会议语种:英文

页码: 23-26

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）