【摘要】 文章介绍了一种可应用于中国原油期货市场的远期期限结构量子场理论模型.该模型是对HJM模型的推广,可以用来描述不完全相关的期货远期净持有成本率的演化.实证研究表明,与传统的HJM模型框架相比,基于量子场理论的模型,对市场数据的拟合程度更高,预测效果更好.稳健性检验表明,该模型在估计结果的稳健性以及预测效果上均优于传统两因子HJM模型,在期货价格预测和风险对冲方面具有很大的潜力.更多还原

【Abstract】 In this paper,we introduced a quantum field theory(QFT) model that is applied to term structure of forward rate on Chinese crude oil futures prices.QFTbased model is the generalization of HJM model which can describe the evolution of imperfectly correlated net cost-of-carry forward rates.Empirical evidence from Chinese crude oil futures market reveals the effectiveness and accuracy of QFT-based model compared to the traditional HJM model framework.Robustness test also shows that the QFT-based model is superior to the traditional two-factor HJM model both in robustness of estimation results and effectiveness of prediction,which implies that the model have great potential in futures price prediction and risk hedging.更多还原