寧波諾丁漢大學(xué)商學(xué)院金融學(xué)劉小泉副教授進(jìn)行了一場(chǎng)題為在中國(guó)商品期貨市場(chǎng)的流動(dòng)性與波動(dòng)的講座，講座的主要內(nèi)容是：

　　本文系統(tǒng)地探討了流動(dòng)性和波動(dòng)性的預(yù)測(cè)為鋁，銅，燃料油，并利用盤中和日數(shù)據(jù)，中國(guó)糖業(yè)期貨合約。采用三俗的流動(dòng)性估計(jì)，我們首先表明，三個(gè)月交貨的合同享受最好的流動(dòng)性在所有被調(diào)查的商品。這一發(fā)現(xiàn)，近月合約比更遠(yuǎn)的合約流動(dòng)性較差的是新的，相反在其他模式主要的期貨市場(chǎng)，它從獨(dú)特的制度規(guī)定了中國(guó)期貨市場(chǎng)的結(jié)果。利用更遙遠(yuǎn)的合同，并履行四項(xiàng)廣泛采用的波動(dòng)性模型預(yù)測(cè)對(duì)替代真實(shí)波動(dòng)代理，我們提供了強(qiáng)有力的證據(jù)表明，ARFIMA模型一致產(chǎn)生最好的預(yù)測(cè)或預(yù)期不遜于最好的。這對(duì)于具有不同流動(dòng)性水平的合同強(qiáng)勁。

　　劉小泉，寧波諾丁漢大學(xué)商學(xué)院金融學(xué)副教授。她的研究領(lǐng)域包括:資產(chǎn)定價(jià)、衍生產(chǎn)品、金融計(jì)量等。在她加入諾丁漢大學(xué)中國(guó)商學(xué)院以前，曾在英國(guó)University of Essex任講師和高級(jí)講師，期間訪問過密西根大學(xué)(安娜堡)Stephen M. Ross商學(xué)院和中國(guó)科學(xué)技術(shù)大學(xué)金融統(tǒng)計(jì)系。她多次在國(guó)際頂級(jí)金融經(jīng)濟(jì)期刊上發(fā)表文章，期刊包括the Journal of Economic Dynamics and Control, the Journal of Banking and Finance, and the European Journal of Operational Research等。

　　原文：This paper systematically explores liquidity and volatility forecasting for Aluminum, Copper, Fuel Oil, and Sugar futures contracts in China using intraday and daily data. Adopting three popular liquidity estimators, we first show that contracts with three months to delivery enjoy the best liquidity for all commodities under scrutiny. The finding that nearby contracts are less liquid than the more distant contracts is novel and contrary to the pattern in other

　　major futures markets, and it results from unique institutional regulation in the Chinese futures markets. Utilizing more distant contracts and implementing four widely adopted volatility models for forecasting against alternative true volatility proxies, we provide strong evidence that the ARFIMA model consistently produces the best forecasts or forecasts not inferior to the best. This is robust for contracts with different liquidity levels.