商品期货合约实物交割管理规范化研究

In commodity futures business, the supervision standardization of barter.delivery is directly related to the realization of function and effectivity of futures market as well as the success and failure of futures market. This study is concerned with the controlling of transaction position, the perfection of delivery system and the scientific calculation of premium and discount, etc. The applicant and members of the project group collected a great deal of data and consulted numbers of Chinese and overseas literature as soon as possible during the survey in Shanghai Futures Exchange, Dalian Commodity Exchange and Zhengzhou Commodity Exchange. Beginning with the analysis of the change.of relation between futures and spot price, we continued to do empirical research on the effectivity of Chinese futures market by using two testing method, namely variable analysis.and random walk. After that, we studied the premium and discount of barter delivery in commodity futures and built a premium and discount pricing model, and then we also did empirical research on the relation between futures trade and barter delivery and built dynamic control model about trade position. Moreover, we have done some correlative.patulous research, i.e. the deduction of venture investment pricing model, portfolio optimal selection model of stock index futures under controlling of short selling. In short, we have.basically accomplished the task suggested by the authorized table of sustentative project of the National Natural Science Foundation of China (NSFC).

1.分析期货交易与实物交割的内在关系及规律以确定实物交割规范化管理的内涵。2.研究交割主体行为的规范化，以确定各交割主体的责任及权利界限，建立交割制度。3.研究交割标准品的选择与交割标准的设计，以解决质量纠纷这一交割难点问题。4.研究交割价格升贴水以及交费用、成本。5.研究交割仓库的布点、管理。五项研究都具有创新性与应用前景。