【IEF Seminar 28】Porf. Yongmin Zhang--Volatility, Liquidity, and Pricing Models in Commodity Futures Markets

发布者:唐晶发布时间:2018-03-21浏览次数:100

EFIT  Yukun Huang

On the afternoon of March 9, Yongmin Zhang, a professor of Ningbo Nottingham University of global finance, held a lecture about Volatility, Liquidity, and Pricing Models in Commodity Futures Markets.

The first part of the talk will focus on policy impact on volatility dynamics in commodity futures markets: Evidence from China. We scrutinize the impact of a series of new policies on stock index futures trading, which have recently been enacted by the Chinese government. We pay particular attention to the way in which these have influenced commodity market volatilities and how their impact on liquidity has affected volatility more generally. Our results reveal a novel interaction between the new government policy and market forces which drive volatilities in commodity markets.

The second part of the talk is about pricing liquidity into futures. Accurate pricing is important in futures markets but is hard in markets affected by uncertain liquidity. With liquidity risk, the standard modelling assumption of linear spot-futures parity no longer holds and the relation between spot and futures prices becomes nonlinear. We propose a new model introducing a novel illiquidity multiplier that captures the degree of the illiquidity impact. We calibrate with oil futures data and benchmark against standard models, demonstrating both spot and futures price prediction with low forecast errors. We also discover a nonlinear coupling effect between the spot liquidity level and the maturity: The Curious Case of Haunted Houses. Teachers in institution of Economics and Finance attended the lecture.

The teachers were attracted by the lecture. They asked several questions to communicate with Professor Zhang. Through this lecture, teachers have the opportunity to share their idea about the financial market. Since they all have different major field, they can better cooperate later in further study.