Research On The Fluctuation Effect Of Coke Futures In China

As the "basic food" of the steel industry,coke plays an important role in China's energy market and is the rare resource and energy product that China ranks first in the world.In order to stabilize the risk of drastic fluctuations in coke prices and maintain the international pricing power of China's coke,China Commodity Futures Exchange of China launched coke futures on April 15,2011.As the world's first coke futures variety,since its listing,both the scale and the degree of activity have leaped into the energy futures market in China.Therefore,scientifically revealing the characteristics and influencing factors of price fluctuations of coke futures have positive theoretical and practical significance for the formulation of coke industry policies in China and the scientific development of the coke industry.This article takes the main continuous contract of coke futures in China's Dalian Commodity Futures Exchange as an example to analyze the fluctuation effect and quantity-price relationship of the price of coke futures market in China,in an effort to reveal the internal mechanism of the price change of coke futures,which is a trader in China's coke futures market.And regulators provide theoretical support for developing trading strategies and regulatory measures.The analysis idea of this article: After comprehensively comparing domestic and foreign relevant literatures,quantitative economic research methods are used to analyze the fluctuation effect and quantity-price relationship of coke futures prices.The full text is divided into six chapters.The first chapter is the introduction.The second chapter introduces the related theory of price fluctuation analysis.The third chapter to the fifth chapter studies the fluctuation effect and quantity-price relationship of coke futures price.The third chapter studies the coke futures.Weekly calendar effects and leverage effects of price fluctuations,Chapter 4 studies the longterm memory effect of coke futures price volatility,and Chapter 5 studies the volume-price relationship of coke futures markets.The sixth chapter is conclusion,suggestion and outlook.The main conclusions of the full text are as follows:1.Using the asymmetric TGARCH model to study the weekly calendar effect and leverage effect of China's coke futures market,it was found that there was a significant weekly calendar effect on both day earnings and overnight earnings.In terms of earnings volatility,there is no significant difference in the day's earnings on various trading days during the week.The overnight earnings are significantly different on various trading days during the week.It is also found that the Chinese coke futures market has significant volatility asymmetry and has a negative leverage effect.The positive "good" impact is greater than the negative "bad" impact.2.Through R/S and V/S fractal analysis of coke futures,it is found that the daily yield and fluctuation sequence of China's coke futures market are not random walks,but obey one kind of biased randomness with “spikes and tails”.Walks,high H-values and high correlation scales show that China's coke futures market has significant long-term memory.3.Using the GARCH model to study the day-to-day price-to-price relationship of China's coke futures market,it was found that volume was positively correlated with price volatility,and open interest was negatively correlated with price volatility.At the same time,it is also found that the unpredictable volatility and expected positions have a greater impact on the price fluctuation of the coke futures market than the expected volume and unexpected positions.Using the LOG-ACD model to study the intraday price-to-price relationship in China's coke futures market,it was found that both volume and open interest have a positive impact on intraday price volatility,and that the volume of the transaction has a greater impact strength than open interest.Among them,the comprehensive analysis of the price fluctuation of the coke futures in this paper is an effective supplement to the research on the price fluctuations of the existing domestic futures varieties;secondly,when examining the relationship between the quantity and price of the coke futures market,there is a breakthrough in the method.The relationship is divided into days and days.When studying the intra-day price/volume relationship,try to add three market microstructure factors,namely volume,open interest,and price yield,in the LOGACD model of price duration.The influence of market depth and price duration on intraday price volatility is an extension of previous research.