Speculation and Arbitrage Model of Crude Oil Futures Including Convenience Yield

被引：0

作者：

Wang, Shuping ^{[1
]}

Luo, Qingyu ^{[1
]}

Zhang, Shulin ^{[1
]}

机构：

[1] N China Univ Technol, Sch Econ & Management, Beijing 100144, Peoples R China

来源：

EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年

关键词：

crude oil futures; convenience yield; speculation; arbitrage; MARKET;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we presented a speculation and arbitrage model of crude oil futures on basis of the convenience yield inducted as a kind of option. The empirical results show that arbitrage and speculation both affect the future prices, in which arbitrage is the main factor. Additionally, speculation has played a certain role in the process of futures price come into being, and the huge fluctuation of crude oil price in recent years does not closely connect with speculative factor.

引用

页码：3802 / 3805

页数：4

共 12 条

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