大连商品交易所-和讯网十大期货研发团队评选团队投稿（Dalian commodity exchange - ten major futures R D team selected team contribution）.docVIP

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大连商品交易所-和讯网十大期货研发团队评选团队投稿（Dalian commodity exchange - ten major futures R D team selected team contribution）.doc

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大连商品交易所-和讯网十大期货研发团队评选团队投稿（Daliancommodityexchange-tenmajorfuturesR

大连商品交易所-和讯网十大期货研发团队评选团队投稿（Dalian commodity exchange - ten major futures R D team selected team contribution） Dalian commodity exchange - ten major futures R D team selected team contribution Statistical analysis of historical price relationship between soybean, soybean meal and soybean oil futures Founder futures research and development center Luo Jianghua Soybean, soybean oil and soybean meal listed on the three futures trading for soybean industry chain, enterprise production and management to provide a tool to circumvent the price risk, is conducive to the healthy development of the soybean industry. As soybean, soybean oil and soybean meal belong to different commodities in the industry chain, there is a balanced relationship between the three spot prices. At the same time, the futures market traders from all sides to bring a lot of supply and demand information, standardized contract transfer and increase the liquidity of the market, the formation of the price in the futures market can reflect the market supply and demand, there is a balanced relationship between the price of beans futures. This paper selects the Dalian Mercantile Exchange in January 9, 2006 to October 23, 2009, soybean oil and meal futures contract in May of the first day closing price as the sample, respectively, on the three historical price futures futures price relations, squeezing profits were analyzed, and then the three varieties of futures price regression analysis, and then judge the three varieties of the trend of the market outlook given the relevant investment advice. First, beans futures historical price trend analysis As shown in Figure 1, in the sample period, beans futures experienced a wave of bull bear alternative market, three varieties of the trend is basically the same, but soybean oil price elasticity than soybean, soybean meal to be large. Analysis of the correlation between the three can be obtained, the correlation coefficient of soybean and soybean oil futures pric