摘要
文章利用线性分位数回归方法研究了沪深300股指期货的成交量、持仓量、与其价格波动率之间的关系,结果表明,一定程度内,成交量对价格波动率影响随着分位数逐步增加主要是先由小变大,再有大变小;持仓量对价格波动率的影响随着分位数增加,主要也是先由小变大,再由大变小。而当期货价格波动剧烈到一定程度时,成交量、持仓量的变化已很难再调整价格的波动。
The article uses linear quantile regression method to study the relationship of futures trading volume, position quantity and the price volatility, the results show that, in a certain degree, along with the fractile gradually increases, the volume of price fluctuation turns from small to big, then from big to small; Position amount of price fluctuation rate influence with the fractile increases, turns from small to big, then from big to small. However when the futures price volatility is high to a certain degree, volume, position the quantity are already difficult to influent the price volatility.
出处
《南京财经大学学报》
2012年第5期66-70,共5页
Journal of Nanjing University of Finance and Economics
基金
江苏高校优势学科建设工程资助项目(PAPD)
教育部规划基金项目(编号:08JA790063)
南京财经大学研究生创新项目(编号:M11010)
关键词
股指期货
成交量
持仓量
绝对价格波动率
分位数回归
stock index futures
volume
position output
absolute price fluctuation rate
quantile regression
