期货市场创新的模型和决策
THE MODEL AND DECISION OF FUTURES MARKET INNOVATIONS
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摘要: 本文研究了期货市场创新（Innovation）的最优设计问题，分析了保值者和投资者市场结构和交易均衡条件，建立了具有保值性、流动性、价格引导和交易费用的模型，设计了期货市场交易所单个创新、并发创新（Simultaneous Innovation）和顺序创新（Sequential Innovation）的最优决策，运用模拟退火方法，进行了期货市场创新的仿真研究．Abstract: In this paper,the optimal design of futures market innovation is developed.The market structure and trading equilibrium condition of hedger and investor are analysed.The models of hedge, Iiquidty, price introduction and trading fee are established.The optimal decisions of the single exchange, simultaneous and sequential innovation are designed. The simulation study of futures market innovation is carried out by simulated annealing methods.
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