Research on Futures Pricing Based on Hedging Pressure Theory
Commodity futures market is an important part of the financial market with Chinese characteristics,which is of great significance for investors'hedging and price discovery.As for the pricing of commodity futures,the hedging pressure theory holds that the futures price depends on the net position of speculators and hedgers in the game.Different from the Chicago Mer-cantile Exchange and other overseas futures exchanges,the trading data released by several major futures exchanges in China do not distinguish speculators and hedgers,which poses great difficulties for the research on the hedging pressure theory in China.This paper draws on several construction methods of hedging stress factors in cutting-edge research,innovatively replaces non-commercial traders'positions with member position data,and uses supervised scaled principal component analysis to reintegrate short-term and long-term hedging pressure factors decomposed by momentum rules to construct an improved hedging pressure factor.On this basis,a four-factor pricing model including market,momentum,basis momentum and SPCAtop 10 Basu-Miffre members hedging pressure momentum factor was constructed by factor and model validity testing methods,which verified the ap-plicability of hedging pressure theory in China's futures market and enriched the research on multi-factor pricing of commodity futures in China.It has made a beneficial expansion to improve the theory of commodity futures pricing with Chinese characteris-tics.
Hedging pressure theoryScaled principal component analysisFutures pricingMulti-factor pricing model
万方数据
维普
