【正文】 Economics 161 Challenges to technical trading rules ? Prices do not move in trends based on statistical tests of autocorrelation and runs. That is , past price patterns may not be repeated in the future.. ? If technical trading rules worked, the market would selfdestruct. This is called the selffulfilling prophecy. Shanghai University of Financeamp。Economics 160 Advantages of technical analysis ? It’s quick and easy ? It does not involve messing with data and adjusting for accounting problems ? It incorporates psychological as well as economic reasons behind price changes ? It tells when to buy。Economics 157 Main differences among the three approaches ? The speed at which these analysts believe news is impounded into prices. Technicians believe the reaction is slow, fundamentalists feel prices adjust quickly, and efficient market hypothesis analysts feel it happens almost instantaneous. Shanghai University of Financeamp。Economics 155 fundamental, technical, and the efficient market analysis ? Fundamental analysts: believe that a security’s price is determined by the supply and demand for the underlying security based on its economic fundamentals such as expected return and risk. ? Fundamentalists believe they can forecast value changes by analyzing earnings data and publicly available data Shanghai University of Financeamp。Economics 153 技術分析與基礎分析 ? 技術分析＝算命？ ? 優(yōu)劣比較 Shanghai University of Financeamp。Economics 151 上證指數模擬 ? 模擬結果 Shanghai University of Financeamp。Economics 149 幾個變量的估算 : 以上證指數為例 ? 方法 EWMA（ 指數加權移動平均） GARCH(1,1) ? 漂移率 ? 波動率 ? 隨機數 excel 或其他軟件可以自動產生 ? 時間段： Shanghai University of Financeamp。Economics 147 蒙特卡羅模擬 ? 股票價格指數的行為特征 ? 蒙特卡羅模擬的基本方法 Shanghai University of Financeamp。Economics 145 discrete dividend yield ? If discrete dividends of q1,q2,….q n are expected between time zero and time T, we define: We can get the equivalent continuous dividend yield,q: 1)1) . . . (1)(1( 21 ????? nqqqe qT ?? 1Shanghai University of Financeamp。Economics 143 Result ? Initial cash out flow: ? Final inflow: F0 ? No arbitrage opportunity require that the PV of inflow equal to the PV of outflow ? So, or, qTeS ?0rTqT eFeS ?? ? 00TqreSF )(00??Shanghai University of Financeamp。Economics 141 The effect of a known dividend yield ? For an investment asset providing a continuous dividend yield rate q is: TqreSF )(00??Shanghai University of Financeamp。Economics 139 Conversion ? Known pounding rate ? mnnRmRAAe c )1( ??)1l n (mRmRc ??Shanghai University of Financeamp。Economics 137 Continuous pounding ? Compounding once per annum ? pounding m times per annum ? when m tends to infinite nRA )1( ?mnmRA )1( ?Shanghai University of Financeamp。Economics 135 股指期貨定價 ? 金融工程方法 1（無風險套利定價） ? 金融工程方法 2（蒙特卡羅模擬） ? 金融工程方法 3（二叉樹定價） ? 傳統(tǒng)方法（基本分析、技術分析） Shanghai University of Financeamp。P報價見下表 ? 求需用的合約數 Shanghai University of Financeamp。Economics 133 Example ? 某公司欲用 2022年 12月份 Samp。Economics 131 Systematic risk of a portfolio Or nnp XXX ???? ???? ...2211???niiip X1??Shanghai University of Financeamp。Economics 129 Systematic unsystematic risk ? Let ? We get ? This called market model ??? ?????? ??? mRRShanghai University of Financeamp。Economics 127 指數套利（ Index arbitrage） ? Pension fund ? Index fund Shanghai University of Financeamp。Economics 125 交易費用 ? 理論分析通常忽略交易費用 ? 保證金構成交易費用嗎？ ? 交易費用舉例： CME Shanghai University of Financeamp。Economics 123 Quotation ? Open ? End ? Settlement price ? Open interest ? Estimated volume ? Price change ? High and low Shanghai University of Financeamp。Economics 121 交易時間 ? 全天候交易？ ? 交易時間覆蓋問題 Shanghai University of Financeamp。Economics 119 股指期貨交易 ? 交易系統(tǒng) ? 交易時間 ? 報價 ? 清算 ? 交易費用 Shanghai University of Financeamp。Economics 117 每日結算價 ? 收盤價 ? 加權平均價 Shanghai University of Financeamp。Economics 116 交易時間 ? 所有期貨市場交易時間均覆蓋現貨市場，并且采取早開市或遲閉市，或同時采取兩者的做法。Economics 114 保證金水平 ? 初始保證金 ? 維持保證金 ? 催交保證金 ? 保證金變動值 ? 保證金可以是債券 Shanghai University of Financeamp。Economics 112 20％跌停 ? 底線 Shanghai University of Financeamp。10分鐘后，若保盤仍維持跌停，則暫停 2分鐘后實行 15％跌停 Shanghai University of Financeamp。 Shanghai University of Financeamp。Economics 109 10％跌停限幅 ? 芝加哥時間下午 1： 30以前，若報價觸及10％跌幅限制，則只能是高于或等于該價位的委托成交；若達到 10％跌停，且NYSE因 DJIA達到 10％跌停而終止交易，則交易暫停。 Value Shanghai University of Financeamp。P MidCap 400, Russell 2022, Emini Russell 2022 and Samp。P 500, Emini Samp。Economics 106 漲跌停制度 ? 無漲跌停 ? 單向限幅 ? 彈性漲跌停 ? 固定漲跌停 Shanghai University of Financeamp。Economics 105 最小波動價位 ? Samp。Economics 104 合約月份 ? 12季月模式 Samp。P 500 250美元 317， 000 CBOT—DJIA 10美元 10975 109， 750 KCBT—Value Line 250美元 79,375 LIFFE—FTSE100 25英鎊 205, EUREX—DAX 25歐元 131, MATIF—CAC40 10歐元 50, SIMEX—NK225 500日元 55, KOFEX—KOSDAQ50 100,000韓元 HKFE—H S I 50港元 96995美元 TAIFEX—TAIEX 200新臺幣 55768美元 Shanghai University of Financeamp。Economics 101 合約每點價值比較 ? CMESamp。Economics 99 Unweighted Price indicator series ? All stocks carry equal weight regardless of their price and/or their market value. ? Assume that equal dollar amounts are invested in each stocks in the portfolio ? Based on the average of the percent price changes for the stocks in the index Shanghai University of Financeamp。Economics 98 Valueweighted indices ? Samp。Economics 96 NikkeiDow Jones Average ? 225 stocks on th