Elastoplastic Model Of Interest Rate Futures Price And Its Empirical Study

At present,domestic and foreign researchers mostly concentrate on interest rate futures volatility,interest rate futures pricing and arbitrage,interest rate futures on the spot market and so on,and price-volume research on interest rate futures price is not enough comparing with the spot stock market and commodities futures market.This paper uses econometric tools,draws on the plasticity and elasticity conceptions in the mechanics fields and considers the relation between interest rate futures price and trading volume in different aspects,in order to set up the complete interest rate futures price plasticity and elasticity theory.Interest rate futures price plasticity and elasticity theory combines trading volume with price,incorporates the information of the trading volume into the price array in order to analyze the behavior of prices,describes the inherent relation between the interest rate futures price and trading volume from a new angle and perfects the investment analysis theories.The main conclusions of this paper includes:(1)introduces the thought source of interest rate futures price plasticity and elasticity theory,and defines the new concepts,such as interest rate futures equilibrium price,the plasticity of interest rate futures price and the elasticity of interest rate futures price;(2)sets up interest rate futures price plasticity basic model,plasticity autoregressive model,plasticity distribute lag model,elasticity basic model, uses the econometrics methods to carry on examination and theory explanations for these models;(3)Econometric test results show that these models can pass the economic and statistical tests by large,but goodness-of-fit and DW severally vary.The best fitting effect is plasticity autoregressive model and plasticity distribute lag model in these models.