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Mobility and relative mobility generating method and device
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A liquidity and volatility technology, applied in data processing applications, finance, instruments, etc., can solve problems such as the large liquidity ratio of Amivest, the inability to effectively reflect the liquidity characteristics of futures contracts, and the contribution of amplified tight liquidity
Inactive Publication Date: 2013-11-06
SHANGHAI FUTURES EXCHANGE
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However, when describing the liquidity of futures contracts, this type of method has the following disadvantages: Since the futures market (especially the domestic futures market) generally has a price limit system, if the market opens with a price limit (or limit-down) and does not Keep until the end of the inspection period, the maximum price difference is zero, at this time the Amivest liquidity ratio is infinite, which cannot accurately reflect the liquidity of the contract
[0024] (1) The price method, transaction volume method and time method only reflect a certain aspect of liquidity, and cannot accurately measure liquidity, so they cannot effectively reflect the liquidity characteristics of futures contracts
[0025] (2) In the price-volume combination method, models such as Amivest use the maximum price difference during the investigation period to describe the tightness of market liquidity, thereby amplifying the contribution of tightness to liquidity, resulting in the inability to accurately measure liquidity;
[0026] (3) The value of liquidity obtained through models such as Amivest is too large, which is not easily understood by market participants
[0027] It can be seen that the existing technology cannot accurately measure liquidity
Moreover, in the prior art, only the liquidity of the same futures contract can be measured, but the liquidity of a combination of multiple different futures contracts cannot be measured
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example 1
[0117] In this example, a copper futures contract is taken as an example, that is, the number of futures contracts is m=1, and July 1, 2008 is the first period, and July 3, 2008 is the second period. That is, k=1 for July 1, 2008, and k=2 for July 3, 2008. Here, k represents the trading cycle of the futures contract. In this example, the trading cycle is in units of day, and of course it can also be in units of weeks, months, etc. In addition, in this example, the trading period i is in days, so for the first period (July 1, 2008) or the second period (July 3, 2008), the total number of trading periods (trading days) t =1. Of course, the trading session can also be in units such as hours.
[0118] The input unit 11 inputs the average transaction price and trading volume of the first trading period (trading day) of the first period of a copper futures contract, and the average transaction price and trading volume of the first trading period (trading day) of the second period....
example 2
[0144] In this example, one futures contract of copper and one futures contract of aluminum are taken as examples, that is, the number of futures contracts is m=2. In addition, only one trading cycle of December 1, 2011 is taken, that is, k=1. In this trading cycle (December 1, 2011), the unit of trading period i is day, that is, the total number of trading periods t=1.
[0145] The input unit 11 inputs the average transaction price and transaction volume of each futures contract of the first period (December 1, 2011) in the first trading session (trading day) of one copper futures contract and one aluminum futures contract, and historical transaction data detailed later.
[0146] Then, the total transaction amount generation unit 12 generates the total transaction amount according to the above formula (1), m=2 in this example. In this way, the formula (1) above can be obtained as follows, for example:
[0147] Total Transaction Amount in Phase 1 P ...
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Abstract
The invention provides a mobility generating device and method. The device comprises an input unit, a total transaction amount generating unit, a volatility generating unit and a mobility generating unit, wherein the input unit is used for inputting the average transaction price and the transaction volume of the ith trading period of the kth phase of each futures contract in one or more futures contracts and historical transaction data of each futures contract before the ith trading period of the kth phase, the total transaction amount generating unit is used for generating the total transaction amount of the kth phase of all the futures contracts according to the average transaction price and the transaction volume acquired from the input unit, the volatility generating unit is used for generating the volatility sigma ki of the ith trading period of the kth phase of the one or more futures contracts according to the historical transaction data acquired from the input unit, the mobility generating unit is used for generating the mobility of the kth phase of the one or more futures contracts according to the total transaction amount and the volatility, and k and i are natural numbers greater than zero. The invention further provides a relative mobility generating device and method. According to the mobility and relative mobility generating method and device, the mobility can be generated accurately.
Description
technical field [0001] The invention relates to a method and a device for generating liquidity for a futures market and a method and a device for generating relative liquidity, belonging to the technical field of financial engineering. Background technique [0002] In the financial market, the liquidity of funds is crucial. Only with sufficient liquidity can the financial market play its role in asset allocation and risk management. For the futures market, liquidity is particularly important. A futures market with good liquidity can ensure that enterprises can carry out hedging business smoothly, while a futures market without liquidity will greatly reduce the hedging effect of enterprises. However, excessive liquidity will also affect the futures market's hedging and price discovery functions. Therefore, how to accurately measure market liquidity and provide quantitative reference for market management and regulation adjustment is one of the important issues that the futu...
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