| 基于预期理论的动态随机价格模型及应用 |
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| 引用本文： | 刘法贵,徐捷. 基于预期理论的动态随机价格模型及应用[J]. 华北水利水电学院学报, 2013, 0(1): 122-125 |
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| 作者姓名： | 刘法贵 徐捷 |
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| 作者单位： | 华北水利水电学院 |
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| 基金项目： | 河南省教育厅自然科学基金项目(102300410129) |
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| 摘 要： | 以研究动态随机价格调整过程为目的,以随机价格模型为基础,建立随机价格的状态转移模型,与软商品价格的季节性与均值复归性两大特性相结合,推导出在预期理论基础上的随机价格状态测量方程.最后以郑州白糖为例,从现货价格提供的信息推断出基差动态调整过程.
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| 关 键 词： | 随机价格模型 预期理论 基差 |
Dynamic Random Price Model Based on Expectation Theory and Its Application |
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| LIU Fa-gui,XU Jie. Dynamic Random Price Model Based on Expectation Theory and Its Application[J]. Journal of North China Institute of Water Conservancy and Hydroelectric Power, 2013, 0(1): 122-125 |
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| Authors: | LIU Fa-gui XU Jie |
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| Affiliation: | (North China Institute of Water Conservancy and Hydroelectric Power,Zhengzhou 450045,China) |
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| Abstract: | To study the adjustment process of dynamic random price for the purpose,to take the random price model as the basis,the state transition model of random price was established.Combined with the seasonal characteristic of soft commodities prices and the mean reversion characteristic,the random price state measurement equation was deduced on the basis of the expectation theory.Taking Zhengzhou sugar as an example,the spot price information was used to deduce the dynamic adjustment process of the basis. |
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| Keywords: | random price model expectation theory basis |
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