A Study On The Pricing Problem Of Commodity Futures With Information Factors

Commodity futures market has always been favored by investors, the core problem is the pricing of commodity futures. It has a significant impact of information to investors in commodity futures market. Thus, it has very important research value for the information factors which influences the process of commodity futures prices.This paper mainly studies the pricing problem of commodity futures market with information factors. The main purpose is to analyze the way of information factors to influence commodity futures prices and investor trading strategies. Fistry, from the perspective of information content, this paper establishes an uncompleted information static game model contains many speculators and arbitrageurs, and according to the model, solving the equilibrium prices of commodity futures. On this basis, analyzing the influence of optimal strategies and different information content of speculators and arbitrageurs equilibrium price. Then, follow the above analysis of ideas, to probe the effect of the equilibrium price under the conditions of different sources of information, and to analyze the optimal strategy change of speculators and arbitrageurs at the same time. Finally, employes the way of simulation and case study to verify the conclusions deriving from these models.According to analyzing, the main conclusions the paper acquires are as follow:(1)From the perspective of information content, such as good information and bad information, combined with the characteristics of the futures market, using incomplete information static game method to establish commodity futures pricing model between speculators and arbitrageurs. Analyzing shows that the optimal trading numbers of speculators and arbitrageurs about commodity futures contracts depending on the effect of the degree of risk aversion and the expected difference which are influenced by the probability of authenticity of the information and the information content which is received by speculators and arbitrageurs. Information content, the authenticity judgment of participants about the information content and other factors has a significant impact on the mean and variance of equilibrium futures prices.(2)On the basis of (1), through further consideration of the sources of information, and follow the ideas of the information content analysis, establishing the game model of commodity futures market about the sources of information between speculators and arbitrageurs. The results show that different sources of information can affect the risk aversion of speculators and arbitrageurs and expected difference, thus affecting their optimal trading number. Different sources of information also have a significant impact on the mean and variance of equilibrium futures prices.(3)Using simulation analyzing and case studies method to test the validity of the model. Based on the oil futures market price data in real life to similar assign the parameters. Then, simulated and analyzed from the content and sources of information. The final results of the simulation are also consistent with the conclusions deduced, which also verifies the validity of the model. In case studies, selecting crude oil and gold futures market, and using the models to explain the microscopic reasons behind the collapse of crude oil and gold.