期貨市場(chǎng)學(xué)（第2版）

目 錄

第一章 期貨市場(chǎng)基本原理 ···············································································1

第一節(jié) 期貨交易的產(chǎn)生與特征 ·················································································2

第二節(jié) 期貨合約與行情信息 ···················································································11

第三節(jié) 期貨交易流程 ·······························································································19

第四節(jié) 期貨交割 ·······································································································24

第五節(jié) 清算與結(jié)算 ···································································································30

【本章知識(shí)點(diǎn)回顧】 ···································································································35

【思考題】 ···················································································································35

第二章 期貨價(jià)格的形成機(jī)制與產(chǎn)業(yè)應(yīng)用 ························································37

第一節(jié) 微觀市場(chǎng)結(jié)構(gòu)與價(jià)格形成 ···········································································38

第二節(jié) 期貨價(jià)格理論 ·······························································································47

第三節(jié) 期現(xiàn)貨套利 ···································································································57

第四節(jié) 價(jià)格發(fā)現(xiàn)與產(chǎn)業(yè)定價(jià) ···················································································68

【本章知識(shí)點(diǎn)回顧】 ···································································································74

【思考題】 ···················································································································74

第三章 期貨套期保值 ·····················································································76

第一節(jié) 套期保值的基本原理 ···················································································77

第二節(jié) 傳統(tǒng)套期保值的基本原則和現(xiàn)實(shí)問(wèn)題 ·······················································83

第三節(jié) 最優(yōu)套期比率和動(dòng)態(tài)套期保值 ···································································87

第四節(jié) 套期保值的風(fēng)險(xiǎn)與管理 ···············································································96

第五節(jié) 套期保值的效果評(píng)價(jià) ·················································································101

【本章知識(shí)點(diǎn)回顧】 ·································································································104

【思考題】 ·················································································································104

第四章 期貨價(jià)差套利 ···················································································105

第一節(jié) 期貨價(jià)差套利的基本原理 ·········································································106



第二節(jié)跨期、跨品種與跨市套利 ········································································· 110
第三節(jié)統(tǒng)計(jì)套利 ·····································································································123
【本章知識(shí)點(diǎn)回顧】 ·································································································126
【思考題】 ·················································································································127

第五章期貨交易的基本面分析····································································128

第一節(jié)商品期貨價(jià)格分析 ·····················································································129
第二節(jié)股票期貨價(jià)格分析 ·····················································································138
第三節(jié)國(guó)債期貨價(jià)格分析 ·····················································································142
第四節(jié)外匯期貨價(jià)格分析 ·····················································································144
【本章知識(shí)點(diǎn)回顧】 ·································································································148
【思考題】 ·················································································································148

第六章期貨交易的技術(shù)分析 ········································································149

第一節(jié)期貨市場(chǎng)技術(shù)分析的特殊性 ·····································································150
第二節(jié) K 線分析 ·····································································································152
第三節(jié)支撐、阻力與趨勢(shì) ·····················································································159
第四節(jié)形態(tài)分析 ·····································································································163
第五節(jié)指標(biāo)分析 ·····································································································168
第六節(jié)其他技術(shù)分析方法 ·····················································································176
【本章知識(shí)點(diǎn)回顧】 ·································································································182
【思考題】 ·················································································································183

第七章計(jì)算機(jī)量化交易 ···············································································184

第一節(jié)程序化交易 ·································································································185
第二節(jié)算法交易 ·····································································································188
第三節(jié)高頻交易 ·····································································································197
【本章知識(shí)點(diǎn)回顧】 ·································································································210
【思考題】 ················································································································· 211

第八章期貨市場(chǎng)風(fēng)險(xiǎn)控制制度····································································212

第一節(jié)保證金制度 ·································································································213
第二節(jié)價(jià)格限制制度 ·····························································································220
第三節(jié)限倉(cāng)制度與大戶報(bào)告制度 ·········································································225
第四節(jié)強(qiáng)行平倉(cāng)與強(qiáng)制減倉(cāng)制度 ·········································································230
第五節(jié)其他風(fēng)險(xiǎn)控制制度 ·····················································································234


【本章知識(shí)點(diǎn)回顧】 ·································································································239
【思考題】 ·················································································································239

第九章期貨市場(chǎng)的歷史演變與組織架構(gòu) ······················································240

第一節(jié)期貨市場(chǎng)的歷史演變 ·················································································241
第二節(jié)期貨交易所與結(jié)算機(jī)構(gòu) ·············································································249
第三節(jié)期貨市場(chǎng)的中介機(jī)構(gòu) ·················································································258
第四節(jié)期貨市場(chǎng)的交易者結(jié)構(gòu) ·············································································262
第五節(jié)期貨監(jiān)管體制 ·····························································································268
【本章知識(shí)點(diǎn)回顧】 ·································································································274
【思考題】 ·················································································································274

參考文獻(xiàn)········································································································276