Research Of Futures Hedging Model Based On Fuzzy Higher Order Moments

In the current situation of economic globalization,coupled with the promotion of China’s “the Belt and Road” policy,the global economic development has been deepened.On the one hand,it accelerates the rapid development and integration of the world economy,on the other hand,it also enhances the economic interaction of various countries,and the probability of economic crisis in some countries is greatly increased.The economic crisis has increased the price volatility of resource commodities such as copper and agricultural products,and the number of companies that need to use futures contracts for hedging to avoid the risk of price fluctuations is increasing day by day.How to correctly use derivatives such as futures contracts for hedging has become the focus of research.Most of the existing researches only focus on the low-order risk of the hedging model,and the calculation basis is often based on the variance risk.The existing hedging model based on the variance risk does not take the high-order moment risk into account.Secondly,in the current research,the impact of the optimal hedge ratio is often ignored to consider the impact of abnormal changes in the daily yield of spot and futures.In view of the shortcomings of these two existing studies,this paper mainly carries out the following three aspects of work.Firstly,the membership function of fuzzy mathematics is used to assign a small weight to the large discrete abnormal data in futures and spot yields,so as to weaken the influence of abnormal changes in spot yields on hedging ratios.Secondly,considering that the longer tail extension of the distribution will increase the probability of skewness risk and the thicker tail will increase the probability of kurtosis risk,this paper establishes a hedging model based on the fuzzy third-order moment and a hedging model based on the fuzzy fourth-order moment under the capital constraint,and derives its analytical solution.Finally,the short-slot hedging data of copper and Aluminum in the near future is used for empirical research,and the established model is compared with the existing relevant models.The main innovations of this paper are as follows:(1)A multi-objective hedging model is constructed on the basis of high-order moment risk.In the study of hedging,once the skewness risk and kurtosis risk are not considered,the probability of extreme loss events will increase.In order to comprehensively measure the risk of futures hedging portfolio,this paper constructs a hedging model based on the consideration of higher-order moment risk with the help of multi-objective optimization and function image analysis.(2)Membership function is considered to smooth the abnormal fluctuation of futures and spot yields.In fact,the whole hedging risk will not be affected by the abnormal change of the yield on a single trading day,but the variance of the hedging yield is easily affected,so the existing variance is not accurate enough for the measurement of the hedging risk.In this paper,membership function is used for data smoothing to improve the accuracy of risk measurement.