Studying Pricing And Influent Factors Of Commodity Futures Contracts

There are three issues we discussed in this paper. First, how mach is the commodity futres contracts? Seconde, what infection would be made for the price of commodity futures contracts when the diffierient structure of dealors in futures markets? Third, how variation of the price of commodity futures contracts would be when shocking in spot markets?Commodity futures contracts are the kinds of contracts of forward goods trade. Same qualitative,amount and delivery time of subject commodity are claimed in same commodity futures contracts, and the price of subject commodity at delivery time is decided by openly competition. The price in future markets not only declares the willing of dealer affording at delivery time, but also denotes the expectation of dealer for forward price of subject commodity. The forward price of subject commodity in spot minus the price in future markets is the price of commodity futures contracts, which represents the profit and loses of dealer too. As an important part in the price system of future markets, the price of commodity futures contracts have two characters: first, the price of commodity futures contracts would be less then zero because of the rule of short selling in future markets; second, as the differentials between expectation price and factual price of subject commodity in forward, the magnitude of the price of commodity futures contracts measures the risk degree in future markets. So there is an impotent significance to study of the price of commodity futures contracts.By dividing the dealers in future markets to primary producers and processors of subject commodity and speculators, under the circumstance of existing spot markets and future markets, we building the consume function of each dealers. Based on the utility maximum by solving the first order derivative of consume functions, we build a two-stage static model of commodity futures Contracts price. Then we discuss the effect for the price of commodity futures Contracts price with the stats of changing in compose of dealers and the shocking in spot markets.The model we have developed demonstrates that the commodity futures contracts price is composed of the systematically risk premiums and the unsystematically risk premiums. We prove that the absolute value of the risk premiums has an inverse relationship with the number of speculators. When the amounts of speculators increases, the absolute value of the commodity futures contract price and the transition risk in future markers will decrease, the price in commodity future markets will be settle stability, and the function of price discover will be developed sufficiently.Keep the whole amount of dealers constant, the risk premiums would decline when the amounts of primary suppliers diminish, and the short position has an advantage. The risk premiums would arise when the amounts of processors diminish, and the long position has an advantage. Under the zero of the cost of transaction, with the increasing speculators, the risk premium would be decided by the premium of whole system risk. And if the affection of equity capital market is ruled out, the futures price is the price in future spot markets.With positive expected price in futures markets, when demand increase, the price of commodity futures contracts would be rise, and the risk in futures markets enhances too, which expend the profits of long position, and vice versa. With negative expected price in futures markets, when demand decrease, the price of commodity futures contracts would be bring down, and the risk in futures markets declines too, which expend the profits of short position, and vice versa. Meanwhile, it is demonstrated that condition of price in spot markets decided by commodity futures price is that there are many dealers in commodity markets. When the amount of the primary producers or processors is small, the futures contracts price has the trend of offset up or down. And the offset up will be increased as there are dealers in future markets who do not invest in both futures and securities markets. The positive shock to the spot market produces against the primary product price will cause the offset between the futures price and vice-versa。Compared with tradition theories of"Convenience Yield-Cost of carry)"and"arbitrage-free model of futures pricing", the model built in the paper have more power ability for explanting the circumstance in future markets. The model owns batter characters for practical and metrological employing because the variables used in the model can be found easily the matched samples.