DocumentCode
3503338
Title
Implementing Three-factor Model: Empirical Analysis of the Fuel Oil Futures Price at Shanghai Futures Exchange
Author
Song, Bin ; Liu, Zhidong ; Li, Wenbin ; Li, Bin
Author_Institution
Sch. of Manage. Sci. & Eng., Central Univ. of Finance & Econ., Beijing
fYear
2007
fDate
21-25 Sept. 2007
Firstpage
3959
Lastpage
3963
Abstract
China´s futures market is an emerging market which has only existed for more than 10 years. In recent years, this market steps into a quick development period and proposes enormous challenge for the academics and practitioners, such as futures pricing model, trading strategy, risk management and government regulation. This paper introduces an excellent three- factor future pricing model and analyzes the model empirically by employing the fuel oil future price data. From the empirical results, we find that this model fits the data well. We aim to provide a good and simple pricing tool for institution and individual investors and promote the pricing model application in China´s futures market.
Keywords
petroleum; pricing; risk management; China futures market; Shanghai futures exchange; fuel oil futures price; futures pricing model; government regulation; risk management; trading strategy; Data engineering; Economic forecasting; Engineering management; Finance; Financial management; Fuel economy; Petroleum; Predictive models; Pricing; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location
Shanghai
Print_ISBN
978-1-4244-1311-9
Type
conf
DOI
10.1109/WICOM.2007.979
Filename
4340754
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