金融市場創(chuàng)新與發(fā)展.ppt課件

1、 1金融市場創(chuàng)新與發(fā)展 2金融市場創(chuàng)新的動力與原則金融“三性”與創(chuàng)新管制與創(chuàng)新金融創(chuàng)新的原則3三性關(guān)系盈利安全流動4“三性” 關(guān)系 收益安全流動5例一：收益性與流動性活期存款（美）定期存款和儲蓄存款（美）創(chuàng)新要點：連續(xù)變幻CDs（大額可轉(zhuǎn)讓定期存款單）工商銀行資金管理業(yè)務(wù)銀證通業(yè)務(wù)6例二：安全性與收益性股票投資股票指數(shù)期貨股指聯(lián)結(jié)型產(chǎn)品7例三：安全性與流動性黃金、房地產(chǎn)黃金憑證、房地產(chǎn)信托投資單位（REITs）8REITs歷史可追溯到1880年代，避免雙重課稅年，共有家掛牌房地產(chǎn)投資信托，股票市值為億美元，到年增加到家掛牌，股票市值為億美元，數(shù)量翻了約一番，股票市值增加為原來的倍。目前美國約3

2、00家，市值3000億美元9REITs種類收權(quán)益型 擁有和經(jīng)營收益型房地產(chǎn)，業(yè)務(wù)包括出租、開發(fā)和租戶服務(wù)，絕大多數(shù)房地產(chǎn)投資信托屬于這種類型。按揭型 直接貸款給房地產(chǎn)業(yè)主和經(jīng)營者，或通過收購貸款和由按揭支持的證券來間接地施放信貸?，F(xiàn)今的按揭型房地產(chǎn)投資信托，一般只給現(xiàn)成的物業(yè)提供信貸，很多現(xiàn)代的按揭型房地產(chǎn)投資信托，通過使用證券化的按揭投資和有效的對沖技術(shù)來管理其利率風(fēng)險?；旌闲?既擁有物業(yè)，又提供信貸。10REITs的資格（美國）持股要求。至少要有名股東，前大股東在每一納稅年度的后半年內(nèi)，不得持有超過的股份（退休基金除外）。 2資產(chǎn)要求。資產(chǎn)價值至少以上為房地產(chǎn)、現(xiàn)金和政府證券，持有某一個發(fā)

3、行人的證券不得超過資產(chǎn)價值的，不得持有超過某一發(fā)行人的流行在外的具有投票權(quán)的證券的。 收入要求。至少的毛收入來源于紅利、利息、租金收入或某些資產(chǎn)出售利得，至少的毛收入必須來源于租金收入、有抵押擔保的債權(quán)的利息收入、某些資產(chǎn)的出售利得、或投資于其它房地產(chǎn)投資信托的收入，不得有超過的毛收入來自于出售持有不足六個月的股票或證券，或持有不足四年的房地產(chǎn)（非自愿變賣或拍賣的除外）。 分派要求。給股東的分派必須相當于或超過房地產(chǎn)投資信托應(yīng)納稅收入的，對房地產(chǎn)投資信托要求的實質(zhì)是公司的資產(chǎn)主要是由長期持有的房地產(chǎn)組成，公司的收入主要來源于房地產(chǎn)，公司至少的應(yīng)納稅收入應(yīng)分派給股東。11REITs舉例（DUKE

4、）DUKE重慶國投景龍信托深國投水榭花都12例四：管制與創(chuàng)新美國Q條例V.S.“現(xiàn)金管理帳戶”海外附屬機構(gòu)法V.S.跨州銀行業(yè)務(wù)格拉斯-斯蒂高爾法V.S.銀行控股公司洗售.結(jié)構(gòu)化洗售保底與受托理財外匯管制V.S.資本外逃13創(chuàng)新的原則提高金融服務(wù)效率充分利用法律規(guī)定利潤最大化、最快化與可持續(xù)發(fā)展復(fù)制V.S.反復(fù)制14中國金融市場創(chuàng)新與發(fā)展中國金融市場的管制背景 市場準入、利率、匯率、資金用途管制在多大程度上有效？產(chǎn)品創(chuàng)新、機構(gòu)創(chuàng)新與制度創(chuàng)新15證券市場創(chuàng)新與發(fā)展固定收益證券創(chuàng)新并購方式創(chuàng)新基金產(chǎn)品創(chuàng)新支付與清算系統(tǒng)創(chuàng)新16固定收益證券創(chuàng)新固定收益證券的含義（fixed-income secur

5、ities）種類 國債(銀行間市場報價、交易排行) 企業(yè)債（公司債？） 可轉(zhuǎn)換債券 結(jié)構(gòu)化債券 債券與隱含期權(quán)(embedded options)17可轉(zhuǎn)換債券定義舉例1：機場轉(zhuǎn)債 （上海機場）募集說明書轉(zhuǎn)股情況例2（青島啤酒）18結(jié)構(gòu)化債券1986年Standard Oil發(fā)行面值$1,000不付息債券 到期支付 ：$1000+附加額 附加額= min($2550,170*(p-25)19隱含期權(quán)贖回權(quán)(call)返售權(quán)(resell)償債基金（sinking fund）重訂價（reset）例：機場轉(zhuǎn)債（100009）中的隱含期權(quán)20并購方式創(chuàng)新協(xié)議收購上市公司非流通股拍賣方式競買上市公司股

6、權(quán)（華潤收購ST吉發(fā)債權(quán)市場間接收購（債轉(zhuǎn)股）征集代理權(quán)第三方代為收購上海華企投資有限公司和資產(chǎn)新聞實業(yè)有限公司以4250萬元的價格收購女兒紅釀酒有限責(zé)任公司,其中前者占46%的股份，后者占54%。資產(chǎn)新聞實業(yè)有限公司收購后，將其中25%的股份轉(zhuǎn)讓給香港的一家有臺資背景的公司。托管與期權(quán)方案相結(jié)合 2001年4月，寧夏恒力面向境外投資者公開征集股權(quán)受讓人，計劃通過股權(quán)委托管理和簽訂股權(quán)遠期轉(zhuǎn)讓協(xié)議的方式引進外資股東。換股并購資產(chǎn)置換方式21信托業(yè)創(chuàng)新案例一：外環(huán)隧道項目案例二：湘計算機案例三：山東國投外匯資金信托22基金產(chǎn)品創(chuàng)新傘形基金（湘財合豐系列基金）指數(shù)基金（華安180指數(shù)基金）保底基金

7、（南方避險增值基金 招募書明書）交易所交易基金（ETFs）23支付與清算系統(tǒng)創(chuàng)新實時全額v.s.差額清算系統(tǒng)電子化支付清算與電子貨幣貨幣民主化？24保險業(yè)創(chuàng)新投資聯(lián)結(jié)類產(chǎn)品保險V.S儲蓄25銀行產(chǎn)品創(chuàng)新儲蓄品種個人金融服務(wù)銀證、銀保合作26衍生品市場創(chuàng)新期貨期權(quán)互換遞延交易27期貨交易的起源與發(fā)展起源發(fā)展現(xiàn)狀28期貨市場的源頭古埃及 Genesis, ch41 “Egyptian pharaohs dream and Josephs trick”印度孔雀王朝（2000B.C）18世紀歐洲“to- arrives”期貨交易所的誕生29CBOT的誕生CBOT，1848年82個谷物商人成立地理位置1

8、851年CBOT第一張遠期合約1865年第一張期貨合約 3031323334CBOT市場統(tǒng)計2002年統(tǒng)計35當前全球期貨交易情況約74家交易所. 1970年代，美國各期貨交易所年交易合約1300萬張，主要為農(nóng)產(chǎn)品1990年代，美國期貨合約年交易5300萬張，農(nóng)產(chǎn)品期貨占10%左右36全球期貨交易所情況37重要交易所CME(Chicago Mercantile Exchange)LIFFE(London International Financial Futures and Options Exchange)(COMMEX) Commodity and Monetary Exchange of

9、 Malaysia(KCBT)Kansas City Board of Trade (KOFEX) Korean Futures Exchange(NYME)New York Mercantile Exchange 38交易所會虧損嗎？LIFFE,199939期貨合約定義：交易雙方約定按既定價格在未來買賣一定量物品的標準化合約特點 1、價格、數(shù)量、時間已經(jīng)確定 2、交割尚未發(fā)生 3、標準化40合約種類商品期貨 1、農(nóng)林畜產(chǎn)品 2、能源及化工產(chǎn)品 3、金屬產(chǎn)品 4、金融期貨 1、利率 2、貨幣 3、指數(shù) 4、股票天氣期貨41合約要素基礎(chǔ)資產(chǎn)（underlying)合約規(guī)模（Contract si

10、ze）交割安排（Delivery arrangements）交割月份（Delivery months）報價方式（Price quotes）價格波動限制（Daily price movement limits）持倉限制（Position limits）42CBOT電子交易小型黃金合約合約規(guī)模33.2 fine troy oz.交割等級：純度99.5%,金條重量誤差不超過10%最小價格變動：10 cent/fine troy oz. (or $3.32 per contract).報價：Dollars and cents/fine troy ounce.合約月份：月度合約最后交易日：合約月份倒數(shù)第

11、三個工作日最后交割日：合約月份最后一個工作日 交易時間：電子 8:15 pm to 4:00 pm, Chicago time, Sunday Friday. 交易代碼Electronic Trading- YG43報價Prices(open ,high, low)Settlement priceLifetime highs and lowsOpen interest( one day before)Volume of trading(estimated)446月18日報價CBOT紐約金報價NYMEX報價45交易流程Steps of tradinginvestorbrokerTrader on

12、 the floor46經(jīng)紀商與委托指令 Types of traders on floor of exchange 1. Commission broker 2. LocalsTypes of order 1. Market order 2. Limit order 47保證金制度 逐日清算制度（marking to market）保證金種類 1. 初始保證金 2. 維持保證金 3. 清算保證金(gross basis &net basis)48CBOT保證金要求保證金按目前價格，每張合約價格為11819美元，維持保證金/價格比不到20%投機性交易、套期保值交易與利差（價差）交易保證金有所區(qū)

13、分49交割空方選擇交割方式交割意向書Cash settlement50交易與交易者類型投機套利套期保值51監(jiān)管美國中國 1. CFTC( Commodity Futures Trading Commission) 2. NFA(National Futures Association) 3. SEC( Securities and Exchange Commission) FED, U.S Treasure Department52期貨價格的影響因素現(xiàn)貨價格變動時間利率倉儲費持有現(xiàn)貨方便性53期貨合約的理論價格無收益資產(chǎn)已知收益資產(chǎn)已知收益率資產(chǎn)具有保藏費用的資產(chǎn)持有現(xiàn)貨具有“方便收益”的資產(chǎn)

14、54套期保值目標 財務(wù)狀況確定性金融學(xué)二“公理” more certain is better than risky the earlier money is better than latter 套期保值的完備性多頭套保與空投套保55基差風(fēng)險目標資產(chǎn)與期貨合約基礎(chǔ)資產(chǎn)不相同現(xiàn)貨頭寸時間不確定期貨合約可能提前平倉56基差定義 Basis= 目標資產(chǎn)現(xiàn)貨價格期貨價格基差增強與減弱57記號S1 : t1時刻現(xiàn)貨價格S2: t2時刻現(xiàn)貨價格F1: t1時刻現(xiàn)貨價格F2: t2時刻現(xiàn)貨價格b1: t1時刻基差b2: t2時刻基差58Calculation of basisb1= S1 - F1b2=

15、S2 - F259例1Account receivable within 2 months foreign exchange now: spot $2.50 future $2.202 months latter: spot $2.00 future $1.90Short hedgeResult: Income: S2+F1-F2=F1+b2=2.20+0.10=$2.3060Example 2Account payableLong hedgeResult: cost=S2+F1-F2=F1+b2=$2.3061目標資產(chǎn)與合約基礎(chǔ)差異導(dǎo)致的基差Sometimes, the asset to b

16、e hedged may not identical to the underlying asset of futureResult:Cost(income): S2+F1-F2This can be written as: F1+(S2*-F2)+(S2- S2*)62合約選擇合約基礎(chǔ)資產(chǎn)選擇合約月份選擇63應(yīng)用舉例廠商空頭套期保值批發(fā)商空頭存貨套期保值消費者（廠商）多頭套期保值NYMEX案例64股票指數(shù)期貨 65從“ 911”恐怖襲擊事件談起指數(shù)期貨交易的高風(fēng)險、高收益特征與現(xiàn)貨市場交易對比66道瓊斯指數(shù)期貨67收益情況如恐怖資金于9月3日做空12月道指期貨賣出價10000點9月21日平倉

17、，買入價8000點則盈利（100008000）1020，000投入（保證金）5，40068S&P 500指數(shù)期貨69盈利情況如恐怖資金于9月3日做空SP500期貨賣出價1150點9月21日平倉，買入價950點則盈利（1150950）25050，000投入（保證金）21,56370NASDAQ100指數(shù)期貨71RUSSEL指數(shù)期貨72Dow Trans (E) Cash73911 前后 UAL成交量變化圖 09/18/2001 18.990 50686 09/17/2001 17.500 100201 09/10/2001 30.820 6103 09/07/2001 31.550 6623 0

18、9/06/2001 31.750 5683 09/05/2001 32.700 4787 09/04/2001 32.670 3717 08/31/2001 32.680 2243 08/30/2001 32.600 3349 08/29/2001 32.640 2398 08/28/2001 33.650 2902 7475做空UAL收益情況如恐怖資金9月10日按$30.82賣空UAL，并于9月17日平倉，買入價$17.50。則盈利$13.32成本30.82*0.4=$12.328根據(jù)美聯(lián)儲規(guī)定，做空初始保證金比率40%,且收益不得動用76AAR77做空AAR收益假定按25美元做空，18平倉

19、收益7成本1078American National Insurance79ALLSTATE CORPALJNYSE80LOCKHEED MARTIN 81股票指數(shù)期貨的初步認識高杠桿率高風(fēng)險、高收益很難把握82關(guān)于股指期貨合約以及交易的基本知識合約要素交易流程83合約要素合約規(guī)模（每點價值）漲跌停制度保證金制度持倉限額交易時間清算價格交割月84例：合約要素DJIA 合約要素其他股指期貨合約舉例85S&P 500 Index futureThe Index is based on the stock prices of 500 large-capitalization companies. T

20、he market value of the 500 firms is equal to about 80 percent of the value of all stocks listed on the New York Stock Exchange. Over the past few years, S&P 500 futures trading has averaged more than $25 billion per day the minimum tick size is .10 index points, so the minimum tick is $250 x .10, or

21、 $25.00 per contract86E-MINI S&P 500 Started on Sept,1 1997Point value is $5087NASDAQ 100 INDEX The Nasdaq 100 Index comprises 100 of the largest domestic, non-financial common stocks listed on The Nasdaq Stock MarketThe Nasdaq 100s multiplier is $100 with a minimum tick size of .05, so its minimum

22、tick is $100 x .05, or $5.00 per contract. 88Value Line Contract SpecificationsCOMMODITY: Value Line Stock Index Futures(Trading Began Feb. 24, 1982)The Market: Kansas City Board of Trade.Trading Hours: 8:30 a.m. to 3:15 p.m., Central time.Contract Unit: $100 x Futures Price.Ticker Symbol/Quotation

23、Symbol: MV.Delivery Months: March, June, September, December.Price Quotation: Index points.Minimum Price Fluctuation: .05 point ($5 per contract).Maximum Daily Price Fluctuation: There are no limits on the upside. For information on downside limits, click here.Speculative Position Limits: 5,000 cont

24、racts net long or short in all months combined.Delivery Mechanism: Since this is a cash settled contract, the Value Line Arithmetic Index value at the close of trading on the last trading day will be used to settle all remaining open positions.Last Trading Day: The third Thursday of the month.First

25、Notice Day: Not applicable (cash settled contract).First Delivery Day: Not applicable (cash settled contract).Final Settlement Price: Determined on the third Friday of the contract month. A special quotation of the Value Line index based on the opening prices of the component stocks in the index.89合

26、約要素重點解釋指數(shù)選擇（交易性指數(shù)、非交易性指數(shù)）保證金90指數(shù)類型價格加權(quán)型指數(shù)價值加權(quán)型指數(shù)不加權(quán)型指數(shù)91Price-weighted seriesA price-weighted series is an arithmetic average of current prices, which means that index movements are influenced by the differential prices of the components92DJIADow Jones Industrial Averagecomponents are selected at th

27、e discretion of the editors of The Wall Street Journal the Dow Jones Industrial Average is not limited to traditionally defined industrial stocks. Instead, the index serves as a measure of the entire U.S. market, covering such diverse industries as financial services, technology, retail, entertainme

28、nt and consumer goods 93Component companiesAlcoa Inc.American Express Co.AT&T Corp.Boeing Co.Caterpillar Inc.Citigroup Inc.Coca-Cola Co.E.I. DuPont de Nemours & Co.Eastman Kodak Co.Exxon Mobil Corp.General Electric Co.General Motors Corp.Hewlett-Packard Co.Home Depot Inc.Honeywell International Inc.

29、Intel Corp. (Nasdaq NMS)International Business Machines Corp.International Paper Co.J.P. Morgan Chase & Co.Johnson & JohnsonMcDonalds Corp.Merck & Co. Inc.Microsoft Corp. (Nasdaq NMS)Minnesota Mining & Manufacturing Co.Philip Morris Cos.Procter & Gamble Co.SBC Communications Inc.United Technologies

30、Corp.Wal-Mart Stores Inc.Walt Disney Co.94CalculationThe Dow Jones Averages are unique in that they are price weighted rather than market capitalization weighted. 95The adjusted divisor Oct 12th ,2001, 0.14452124 96Nikkei-Dow Jones Average225 stocks on the first section of the TSEPrice-weighted inde

31、xComprise about 15% of all stocks on the first section 97value-weighted series98Value-weighted indicesS&P seriesNYSE seriesNASDAQ seriesDow Jones Equity Market IndexWilshire 5000 Equity Market indexRussel seriesFT seriesTOPIXMSCI99Unweighted Price indicator seriesAll stocks carry equal weight regard

32、less of their price and/or their market value.Assume that equal dollar amounts are invested in each stocks in the portfolioBased on the average of the percent price changes for the stocks in the index100Unweighted seriesValue line averages 1, industrial (geometric) 2,utilities 3,rails 4,compositeFT

33、ordinary share index( Geometric)101合約每點價值比較CME-S&P500 $250CBOT-DJIA $10KCBT-VALUE LINE $250LIFFE-FTSE100 GBP25EURES-DAX EURO25HKFE-HIS HK$5001年6月合約乘數(shù)規(guī)定2001/6/8收盤合約價值美元CMES&P 500250美元1268.00317，000CBOTDJIA10美元10975109，750KCBTValue Line250美元317.5079,375LIFFEFTSE-10025英鎊5953.0205,527.3EUREXDAX25歐元6187.

34、21131,710.23MATIFCAC4010歐元5939.9350,578.50SIMEXNK225500日元13430.2055,534.00KOFEXKOSDAQ50100,000韓元98.007632.40美元HKFEH S I 50港元13793.8096995美元TAIFEXTAIEX200新臺幣8560.4455768美元103特點每點價值很大程度決定了合約規(guī)模以及投資者風(fēng)險程度各國合約價值大小不一，差別較大歐美大于亞洲地區(qū)合約規(guī)模與現(xiàn)貨市場規(guī)模相適應(yīng)104合約月份3、6、9、12季月模式 S&P500, DJIA,Value-line, FTSE-100,DAX,NIKKI2

35、25,KOSPI200, 以近期月份為主，加遠期季月HIS,TAIEX,CAC40(3即期月，3季月）105最小波動價位S&P500 0.1POINT $25 DJIA 1 $10Value-line 0.05 $5Ftse-100 0.5 GBP5DAX 0.5 EURO5HIS 1 HK$50106漲跌停制度無漲跌停單向限幅彈性漲跌停固定漲跌停107例：CME指數(shù)期貨漲跌停制度RULES for S&P 500, E-mini S&P 500, S&P MidCap 400, Russell 2000, E-mini Russell 2000 and S&P 500/Barra Growt

36、h & Value1085跌停報價一旦觸及5跌停限幅，在10分鐘內(nèi)（或芝加哥時間下午2：30以前），只能按高于或等于該價格成交10分鐘時（或2：30，若報價仍為跌停價，交易暫停2分鐘2分鐘后實行10跌停限幅10910跌停限幅芝加哥時間下午1：30以前，若報價觸及10跌幅限制，則只能是高于或等于該價位的委托成交；若達到10跌停，且NYSE因DJIA達到10跌停而終止交易，則交易暫停。直至SP500成份股市值50以上股票恢復(fù)現(xiàn)貨市場交易后，股指期貨交易實行15跌幅限制。110下午1：30以后，若期指報價觸及10跌停，10分鐘內(nèi)只能成交該價格以上委托。10分鐘后，若保盤仍維持跌停，則暫停2分鐘后實行

37、15跌停11115跌停若報價觸及15跌幅限制，限幅維持10分鐘，10分鐘后若繼續(xù)跌停，實行20跌停限幅11220跌停底線113其他合約的漲跌停限制參見附件114保證金水平初始保證金維持保證金催交保證金保證金變動值保證金可以是債券115例：保證金CBOT股票指數(shù)期貨保證金CME股票指數(shù)期貨保證金116交易時間所有期貨市場交易時間均覆蓋現(xiàn)貨市場，并且采取早開市或遲閉市，或同時采取兩者的做法。最后交易日不能推遲閉市現(xiàn)貨市場交易時間變動時，期貨市場交易時間隨之變動117每日結(jié)算價收盤價加權(quán)平均價118韓國期貨交易所KOFEX1996年5月3日在KSE開始KOSPI200指數(shù)期貨交易1998年7月韓國期

38、貨業(yè)對國外全面開放1999年4月23日正式開業(yè)1999年9月29日推出國債期貨2000年12月，將KOSPI200指數(shù)期貨從韓國證交所（KSE）轉(zhuǎn)至KOFEX2001年1月30日推出KOSDAQ50指數(shù)期貨119股指期貨交易交易系統(tǒng)交易時間報價清算交易費用120交易系統(tǒng)人工報價交易（PIT TRADING）電子交易（GLOBALEX2）121交易時間全天候交易？交易時間覆蓋問題122報價報價閱讀報價差異？123QuotationOpenEndSettlement priceOpen interestEstimated volumePrice change High and low124例：11

39、月16日報價SP500大廳報價SP500電子交易報價EMINISP500報價DJIA報價125交易費用理論分析通常忽略交易費用保證金構(gòu)成交易費用嗎？交易費用舉例：CME126股票指數(shù)期貨的應(yīng)用單純投機套利（跨品種、跨市場、理論價、指數(shù)套利）套期保值（改變貝它系數(shù)）127指數(shù)套利（Index arbitrage）Pension fundIndex fund128analysis securities return= systematic return + unsystematic return129Systematic v.s unsystematic riskLet We getThis ca

40、lled market model130Systematic v.s unsystematic riskSystematic risk equal to times the standard deviation of the market return Systematic risk unsystematic risk= With increasing diversification, the unsystematic risk of portfolio will approaches 0 131Systematic risk of a portfolioOr 132Hedging using

41、 index futuresDefine P: value of a portfolioA: value of assets underlying one futures contractContract needed:133Example某公司欲用2001年12月份S&P500期貨合約為其持有的價值$2,100,000的股票保值.資產(chǎn)組合B=1.54月4日S&P報價見下表求需用的合約數(shù)134Changing Define the the object: contract number= Negative means short and positive means long135股指期貨定價

42、金融工程方法1（無風(fēng)險套利定價）金融工程方法2（蒙特卡羅模擬）金融工程方法3（二叉樹定價）傳統(tǒng)方法（基本分析、技術(shù)分析）136無風(fēng)險套利定價137Continuous compoundingCompounding once per annum compounding m times per annum when m tends to infinite138Continuous compounding 139Conversion Known compounding rate 140When m=1 when continuous compounding rate is known141The e

43、ffect of a known dividend yieldFor an investment asset providing a continuous dividend yield rate q is: 142Proof Consider an investor adopting the following strategy: 1. Buy spot e-qt of the asset and reinvest income from the asset in the asset 2. Short a forward contract on one unit of the asset143

44、Result Initial cash out flow:Final inflow: F0No arbitrage opportunity require that the PV of inflow equal to the PV of outflowSo, or, 144Example1 6 month long forward contract on a non-dividend-paying stock. The risk-free rate is 10% per annum, the stock price is $25, and the delivery price is $24.W

45、hat is the value of the forward contract?145discrete dividend yield If discrete dividends of q1,q2,.qn are expected between time zero and time T, we define:We can get the equivalent continuous dividend yield,q:146Practice 某股票的遠期合約,合約期限6個月.股票現(xiàn)貨價格為$80該股票在第一個月和第四個支付紅利,紅利率分別為股票價格的4%和5%無風(fēng)險利率(年連續(xù)復(fù)利)為6% 求:

46、 該遠期合約的理論價格147蒙特卡羅模擬股票價格指數(shù)的行為特征蒙特卡羅模擬的基本方法148Geometric Browning motionDiscrete form(11.7)149幾個變量的估算:以上證指數(shù)為例方法EWMA（指數(shù)加權(quán)移動平均）GARCH(1,1)漂移率 0.3波動率 0.2隨機數(shù) excel 或其他軟件可以自動產(chǎn)生時間段： 0.01年150模擬6個月后的股價指數(shù)經(jīng)過50步運算151上證指數(shù)模擬 模擬結(jié)果152二叉樹模擬一般用于為期權(quán)定價如果推出指數(shù)期權(quán)，可以得到應(yīng)用153技術(shù)分析與基礎(chǔ)分析技術(shù)分析算命？優(yōu)劣比較154Underlying assumptions of tec

47、hnical analysisValues, and thus prices, are determined by supply and demandSupply and demand is driven by both rational and irrational behaviorSecurity prices move in trends that persist for long periods of timeWhile the cause for changes in supply and demand are difficult to determine ,the actual s

48、hifts in supply and demand can be observed in market price behavior155fundamental, technical, and the efficient market analysisFundamental analysts: believe that a securitys price is determined by the supply and demand for the underlying security based on its economic fundamentals such as expected r

49、eturn and risk.Fundamentalists believe they can forecast value changes by analyzing earnings data and publicly available data156Challenge to techniciansThe major challenge is the EMH. EMH thinks that all available information is impounded in the current security price. Thus , any new information wil

50、l cause instantaneous price adjustments. Also, past technical relationship may not be repeated, technical rules required too much subjective interpretation, and decision variables change over time .157Main differences among the three approachesThe speed at which these analysts believe news is impoun

51、ded into prices. Technicians believe the reaction is slow, fundamentalists feel prices adjust quickly, and efficient market hypothesis analysts feel it happens almost instantaneous.158Fundamentalists look for changes in the basis of value, which eventually leads to changes in the supply and demand f

52、or the stock. Technicians look for evidence of changes in supply and demand through market signals and indicators. EMH says all this looking is a hopeless and profitless exercise since prices will change instantaneously to information changes.valuetimeOld intrinsic valuePoint4:EMHPoint1:startPoint2:

53、fundamentalistsPoint3:technicianNew intrinsic valueSupport levelResistance level160Advantages of technical analysisIts quick and easyIt does not involve messing with data and adjusting for accounting problemsIt incorporates psychological as well as economic reasons behind price changesIt tells when

54、to buy; not why investors are buying161Challenges to technical trading rulesPrices do not move in trends based on statistical tests of autocorrelation and runs. That is , past price patterns may not be repeated in the future.If technical trading rules worked, the market would self-destruct. This is

55、called the self-fulfilling prophecy.162If a technical trading proved to be successful, others would copy it. As more traders implement the strategy, its value will be neutralizedInterpreting the rules is too subjective and the decision variables change over time. 163Technical trading rules and indic

56、atorsTwo broad classes 1. General market movement indicators 2. Individual stock selection indicators( graphs and moving averages)164General market rulesThe contrarian view: contrary-opinion technicians feel that everyone else is stupid, so they had better do the opposite of what investors are doing

57、.Follow the smart money view: technicians feel that smart investors know what they are doing, so the technicians had better “jump on the bandwagon” while there is still time. 165Contrarian viewMajority of investors are always wrongGreed/ panic view166A review of the contrarian viewpoint Optimism(sta

58、rt to buy)Greed(heavy buying)Fear(holding)Panic sellingMarket cyclefeargreedoptimism167Indicators used by contrarianMutual fund cash positions(MFR) 13% bullish, 60% bullish 112% bearish0.50, market is bearish, so contrarian bullish=0.35, bearish169Futures traders bullish on stock index futuresWhen 7

59、5% or more of speculators are bullish, contrarians become bearish and sellWhen 25% or less of speculators are bullish, contrarians become bullish and buy 170Indicators used by Smart money technicianConfidence index(CI)CI=(Barrons Average Yield on 10 top grade corporate Bonds)/Dow-Jones Average 40 Bo

60、ndsOr,CI=(quality bonds yields )/Average Bond yields171In periods of confidence, yield spreads narrow and the CI gets bigger172T-bill Eurodollar yield spreadTechnicians reason that in times of international crisis this spread will widen as money flows to a safe haven in US T-Bills.Short sales by spe