【摘要】 本文在EWMA模型对合约价格变动幅度及合约价格变动幅度波动率 预测的基础上,采用计算数学领域的Newton插值逼近方法得到波动系数函数,建 立了基于牛顿插值原理的期货价格波动函数及相应的保证金随动模型。本模型在保 证较高防范风险能力的基础上可降低保证金的收取水平,为期货交易市场价格波动 程度的衡量及保证金的确定方法提供了新的理论依据和计算方法。更多还原

【Abstract】 Based on the forecasting of the alteration extent and the ratio for the price of contracts , we use the Newton Interpolation in the computation mathematics to build the fluctuation coefficient function and the moving margin model. The characteristics of this model are as follows: Firstly, with the aid of Newton Interpolation method , we obtain the fluctuation coefficient function , and the curve function for the degree of change of the future contracts price. This model solve the problem that determine sequence function only in the way of linear fit. Secondly, we find out the wrong suppose in the HKEX which they suppose the R. V obey to be the Normal School , and through the demonstration analysis we point that the model is unreasonable to a certain extent. Thirdly, we testify the forecasting model reasonability by the way both in risk penetrate and in margin level. We could reduce the margin level while we don’t increase the risk.更多还原