| Serving the real economy is the fundamental purpose of the financial market and the original intention and mission of my country’s futures options market development.In recent years,under the guidance of relevant departments,the futures industry has deeply understood the business risks of industrial enterprises and provided risk management tools and services such as basis trade[33],various OTC options,index swap,"insurance+futures"[36]and warehouse receipt service for real enterprises through business innovation.Based on this background,this thesis selects entitlement basis trading as research objects to analyze the role of such modes in risk management of industrial enterprises.Basis trade means that in the course of trade,both parties use a futures contract as the benchmark price and agree a fixed premium on the benchmark price to price the spot commodity.In this thesis,the industrial chain of polyester filament is studied.Since there is no listed polyester filament futures in China at present,according to the idea of cross-hedging,this thesis constructs a"cost index"based on PTA futures and ethylene glycol futures.Firstly,the feasibility of the cost index for the spot basis pricing of polyester filament is analyzed in Chapter 3,and then in Chapter 4,polyester traders are taken as the basis sellers.Downstream polyester processing enterprises as basis buyers to establish basis trade.In the fifth chapter,this thesis aims at the current situation of small and medium-sized enterprises’difficulty in hedging.By embedding corresponding rights clauses or over-the-counter options in basis trade,this thesis helps the basis buyer reduce the point price risk with the option trade mode.In Chapter 6,from the perspective of the basis seller,the machine learning method is used to predict the price spread of polyester filament.If the price spread has a certain predictability,the basis seller can establish futures position when the price spread is expected to strengthen in the future to gain profits.Based on the research,the following conclusions are drawn:（1）There is a long-term equilibrium relationship between the"cost index"and the spot price of polyester filament.The index guides the trend of the price of polyester filament,and the index yield has a significant spillover effect on the spot yield of polyester filament,so it is feasible to price polyester filament using the cost index;（2）According to the analysis in Chapter 4,the basis seller can obtain stable returns,while the basis buyer has certain pricing power.The main advantages of the basis trading mode come from the separation of price flow and goods flow,and the hedging in this mode can significantly reduce the basis risk.（3）Trade with rights lowers the threshold for small and medium-sized enterprises to participate in basis trade.Among them,the highest price contract clause can significantly help the point price to avoid the risk of the change of the benchmark price,but its disadvantage is that the cost is high,while Asian option can reduce the cost to a certain extent.（4）Both SVR model and GPR model have certain predictive effect on the trend prediction of polyester filament price spread in the next week.The seller of basis difference can take the prediction result of machine learning method as a reference when making business decisions.To sum up,this thesis tries to establish a relatively basic basis trade mechanism in China’s polyester filament silk industry chain,and believes that this mode can help both trading parties to reduce business risks to a certain extent,achieve the effect of cost gain,supply and stable price.In terms of theoretical research and practice of basis trade,this thesis has certain reference value. |
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