Forecasting Of Long Position Default In The Futures Market Based On Fuzzy Statistics And Probability

With the development of China's reform and opening up and the market economy system, China's economic advances. The development of China's futures market is too quite rapid, so in May 1988, The government decided to conduct pilot, in October 1990 the first futures exchange is established .So far, China's futures markets have begun to show its unique features, in many bulk-type futures, it's price discovery function for China's production and circulation has played a huge guiding role; Futures hedging function of futures market also has shown a very important role, to a certain extent, price risk of farmers and businesses is spread, the Chinese economy towards faster and better direction to development. However, as a two-edged sword, the futures, there are disadvantages and benefits. With the development of futures markets, Futures defaults often occur, to China's economic development, especially, to the development of China's futures market, it has brought huge resistance. Futures market impact on the domestic economy is already quite obvious , research of defaults on futures has been concerned by many scholars. Default prediction model established have been concerned by a number of scholars. In recent years, many default probability models appears, including the Merton default probability model based on options of corporate bonds is given, as well as, the KMV default probability model based on equity is given , and so on.Default models in this article is established based on fuzzy statistical probability, firstly, the first chapter in this article outlined Merton and KMV default probability model, and briefly introduce main contents of this paper; In the second chapter it introduces the preliminary knowledge, these are fuzzy expectation and fuzzy integral, the method to establish membership and the futures basics knowledge, these are the cornerstone of the writing of this thesis; The third chapter is to establish forecasting of long position default in the futures market based on fuzzy statistics and probability for long the futures market to make the corresponding default probability prediction model, in this section ,this model mainly quote literature [2], combined with the fuzzy probability knowledge of statistics, and established a fuzzy default model. In the fourth chapter, It use the data of Futures AL0904 in Futures Exchange in Shanghai in 2009 to make empirical analysis of the relevant default , and test long position default models of futures market based on fuzzy statistical probability rationality and superiority; In the fifth chapter, the paper proposed innovation of default model based on fuzzy statistics and probability and use analysis of example to evaluate the model in theory and practical applications objectively.