商品期货合约决策支持系统设计与实现

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1、大连理工大学硕士学位论文商品期货合约决策支持系统设计与实现姓名：许光宇申请学位级别：硕士专业：软件工程（金融信息管理）指导教师：张茂军20080601商品期货合约决策支持系统设计与实现DesignandImplementationofDecisionSupportSystemforCommodityFuturesContractsAbstractDesigningfuturescontractsisoneofthemostimportantcomponentsofmodemfinancialresearch．Theimplementationoffutures

2、contractsstronglysupportstherapidandeffectiveoperationoffuturesmarkets．Asamoresophisticaleditionofinformationmanagementsystem，decisionsupportsystemisputforwardtohelpdesigningfuturescontracts．Inthispaper,thesettinglocationorthegradepremiumanddiscountisdescribedasthemostimportantworko

3、fcommodityfuturesoptionsbysellerisemployedtoconstructcontractsdesigning．Themodelofdeliverytherelationbetweenpremiumanddiscountadjustmentandthelevelofspotspricediscovery，whichisthemaintargetoffuturesmarketdevelopment．Thedecisionsupportsystemisconstructedtoimprovetheeffectsofsettinglo

4、cationorgradepremiumanddiscountandcontractsdesigningbasedonthemodelsabovementioned．Thispaperputsforwardthespecificanalysismodelsfocusingontwolocationsandtwogradessituationtoempiricallytesttheeffectsofpremiumanddiscountadjustmentonpricediscoveryforthecommoditiesofthestandardornon—sta

5、ndardlocationandgradewiththehelpofdatafromDalianCommodityExchangeandNationalInformationCenterofOilandGrain．ThedecisionsupportsystemisimplementedtobeaninteractiveutilitybyVisualBasicbasedonMicrosoftAccess．Theresultsofempiricalresearchshowthattheindexofpremiumanddiscountadjustmentisim

6、pliedillthefuturespricewhichcomprisesoftheoptionsvalues．Thisindexreflectsthetargetsoffuturescontractsdesigningandthedeliveryintentsofsellers．Theadjustmentoftheindexwillchangethevalueoftheoptionsthoseswitchthedeliverycommoditiesfromstandardlocationandgradetonon-standardlocationandgra

7、de．Theprofitsthosesellersgetfromthedeliveryprocedurewillalsobereflectedbytheindex．TherationalityofpolicyofpremiumanddiscountsettingCanbetestedtosupportthedecisionmakingoffuturesmarkets．Thedecisionsupportsystembasedonsuchkindofmodelsisveryhelpfulforimprovingcontractsdesigningandpremi

8、umanddiscountsettin