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New Findings Reported from Hunan University Describe Advances in Applied Mathematics

May 6, 2014

By a News Reporter-Staff News Editor at Journal of Mathematics -- Current study results on Applied Mathematics have been published. According to news reporting originating in Changsha, People's Republic of China, by VerticalNews journalists, research stated, "The Chinese commodity futures markets neglect the existence of the risk hedge and diversification between futures contracts, thus leading to overcharge futures portfolio holders' maintenance margins. To this end, this paper proposes a new method, namely, the multivariate t-Copula-POT-PSRM method, which combines three models, that is, the multivariate t-Copula, the peaks over threshold (POT), and the power spectral risk measures (PSRM), to set futures portfolios' maintenance margins."

The news reporters obtained a quote from the research from Hunan University, "In the empirical analysis, we first construct four kinds of futures portfolios and set their maintenance margins by using the new method. Then, we introduce two evaluation indicators, namely, the prudence index (PI) and the opportunity cost index (OCI), to assess the effectiveness of the proposed method. We also compare the outcomes of the two evaluation indicators of the new method with those of the widely used linear additive model."

According to the news reporters, the research concluded: "The empirical results show that the new method can, respectively, lower the OCI value of all four kinds of futures portfolios for the In-sample period and the Out-of-sample period without significantly reducing the PI value as against the traditional model, which implies that the proposed method can be used to balance security and investment efficiency in the futures market."

For more information on this research see: A New Method for Setting Futures Portfolios' Maintenance Margins: Evidence from Chinese Commodity Futures Markets. Journal of Applied Mathematics, 2014;():1-11. Journal of Applied Mathematics can be contacted at: Hindawi Publishing Corporation, 410 Park Avenue, 15TH Floor, #287 Pmb, New York, NY 10022, USA. (Hindawi Publishing -; Journal of Applied Mathematics -

Our news correspondents report that additional information may be obtained by contacting C. Xie, Hunan Univ, Center Finance & Investment Management, Changsha 410082, Hunan, People's Republic of China. Additional authors for this research include J.J. Yang and G.J. Wang.

Keywords for this news article include: Asia, Changsha, Applied Mathematics, People's Republic of China

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Source: Journal of Mathematics

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