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	【资料名称】:期货基本面分析-杰克史瓦格_ 【资料描述】: provide the novice with basic knowledge presumed by the remainder of the book. In adherence to the truth-in-labeling principle, Chapter 2 has been appropriately titled "For Beginners Only." Readers who are familiar with futures and justifiably feel that they will go into a catatonic state if they read one more definition of futures markets or introduction to hedging are strongly advised to proceed directly to Chapter 3. All Readers The market examples sprinkled throughout the text are intended to illustrate general concepts rather than specific fundamentals of the given market. The actual market used as an illustration is an entirely secondary consideration. Thus, readers should avoid skipping certain sections because the discussion employs a market in which they have little interest. Such a selective reading approach is ill-advised because it will result in a disjointed flow of information. JACK D. SCHWAGER New York, New York March 1995 PART ONE: PRELIMINARIES 1 The Great Fundamental versus Technical Analysis Debate 3 2 For Beginners Only 7 Purpose of This Chapter 7 The Nature of Futures Markets 7 Delivery 8 Contract Specifications 9 Volume and Open Interest 11 Hedging 12 Hedging Examples fora Commodity 12 Hedging in Financial Futures 15 General Observations Regarding Hedging 16 Speculation 18 Types of Orders 19 Commissions and Margins 22 Tax Considerations 22 PART TWO: FUNDAMENTAL ANALYSIS 3 Fourteen Popular Fallacies, or What Not to Do Wrong 27 Five Short Scenes 27 Scene 1 27 Scene 2 28 Scene 3 28 Scene 4 28 Scene 5 29 The Fourteen Fallacies 29 Viewing Fundamentals in a Vacuum 29 Viewing Old Information as New 30 One-Year Comparisons 30 Using Fundamentals for Timing 31 Lack of Perspective 31 Ignoring Relevant Time Considerations 32 Assuming That Prices Cannot Decline Significantly Below the Cost of Production 32 Improper Inferences 33 Comparing Nominal Price Levels 36 Ignoring Expectations 36 Ignoring Seasonal Considerations 37 Expecting Prices to Conform to Target Levels in World Trade Agreements 38 Drawing Conclusions on the Basis of Insufficient Data 38 Confusing the Concepts of Demand and Consumption 39 4 Supply/Demand Analysis: Basic Economic Theory 41 Supply and Demand Defined 41 The Problem of Quantifying Demand 45 Understanding the Difference Between Consumption and Demand 46 The Need to Incorporate Demand 49 Possible Methods for Incorporating Demand 51 Why Traditional Fundamental Analysis Doesn't Work in the Gold Market 56 5 Types of Fundamental Analysis 57 The "Old Hand" Approach 57 The Balance Table 57 The Tabular and Graphic Approach 58 Regression Analysis 67 Econometric Models 68 The Analogous Season Method 69 Rank Classification Method 69 Index Models 70 6 Applying Technical Analysis to Fundamental Data 73 Methods of Trend Definition 73 A Practical Example 74 Detrending Data 78 The Need to Incorporate Data Lags 84 Measuring Time Lags 90 The Danger of Optimization 94 Lags for Data Availability 96 Weighting the Indicators 96 An Example of an Index Model 97 A Final Caveat 100 7 The Role of Expectations 101 Using Prior-Year Estimates Rather Than Revised Statistics 101 Adding Expectations as a Variable in the Price-Forecasting Model 105 The Influence of Expectations on Actual Statistics 106 Defining New-Crop Expectations 107 8 Incorporating Inflation 108 9 Seasonal Analysis 115 The Concept of Seasonal Trading 115 Cash versus Futures Price Seasonality 115 The Role of Expectations 116 Is It Real or Is It Probability? 116 Calculating a Seasonal Index 117 Average Percent Method 117 Link Relative Method 121 Segmented Seasonals 126 Deseasonalizing Data 130 Maximum Gain/Maximum Loss Seasonal Comparisons 134 Counterseasonal Price Action 134 Chart Detection of Seasonalities 136 Conclusion 148 10 Market-by-Market Seasonality 149 Interpreting the Tables in This Chapter 149 Interpreting the Charts in This Chapter 150 A Word About the Price Data Used in Constructing Seasonal Indexes 151 Caveats in Using Seasonal Information for Trading 152 Seasonal Tables and Charts 152 11 Analyzing Market Response 184 Evaluating Market Response for Repetitive Events 184 Example A: USDA Hogs and Pigs Report 184 Example B: October Orange Production and Yield Estimate 189 Counter-to-Anticipated Market Response 190 Repetitive Events 190 Isolated Events 193 12 Government Programs and International Agreements 196 A Focus on Price Influence 196 U.S. Agricultural Policy: A Conflict of Goals 198 Acreage Programs 199 Acreage Reduction Program 199 Normal Flex Acreage 200 Optional Flex Acreage 201 Paid Land Diversion 202 The Price-Support Loan Program 202 Basic Loan Rates 203 Target Prices and Deficiency Payments 206 Marketing Loan Program 206 Farmer-Owned Reserve 207 Import/Export Controls 209 Export Support Programs 210 Summary: Domestic Government Programs 211 International Agreements 212 Bibliography 214 13 Building a Forecasting Model: A Step-by-Step Approach 216 14 Fundamental Analysis and Trading 220 Fundamental versus Technical Analysis: A Greater Need for Caution 220 Three Major Pitfalls in Fundamental Analysis 221 Combining Fundamental Analysis with Technical Analysis and Money Management 228 Why Bother With Fundamentals? 229 Are Fundamentals Instantaneously Discounted? 230 Fitting the News to Price Moves 234 Fundamental Developments: Long-Term Implications versus Short-Term Response 235 Summary 238 PART THREE: A PRACTICAL GUIDE TO REGRESSION ANALYSIS 15 Introduction to Regression Analysis 241 Basics 241 Meaning of Best Fit 244 A Practical Example 246 Reliability of the Regression Forecast 248 16 A Review of Elementary Statistics 249 Measures of Dispersion 249 Probability Distributions 251 Reading the Normal Curve (Z) Table 257 Populations and Samples 260 Estimating the Population Mean and Standard Deviation from the Sample Statistics 260 Sampling Distribution 262 Central Limit Theorem 264 Standard Error of the Mean 266 Confidence Intervals 267 The t-Test 269 17 Checking the Significance of the Regression Equation 274 The Population Regression Line 274 Basic Assumptions of Regression Analysis 275 Testing the Significance of the Regression Coefficients 283 Standard Error of the Regression 283 Confidence Interval for an Individual Forecast 284 Extrapolation 286 Coefficient of Determination (r2) 287 Spurious ("Nonsense") Correlations 291 18 The Multiple Regression Model 293 Basics of Multiple Regression 293 Applying the t-Test in the Multiple Regression Model 296 Standard Error of the Regression 298 Confidence Intervals for an Individual Forecast Yf 299 R2 and Corrected R2 299 F-Test 301 Reading the Computer Printout 303 19 Analyzing the Regression Equation 306 Outliers 306 The Residual Plot 310 Autocorrelation Defined 312 The Durbin-Watson Statistic as a Measure of Autocorrelation 312 The Implications of Autocorrelation 315 Missing Variables and Time Trend 316 Transformations to Achieve Linearity 327 Transformation to Remove Autocorrelation 330 Heteroscedasticity 332 Dummy Variables 334 Multicollinearity 340 20 Practical Considerations in Applying Regression Analysis 347 Determining the Dependent Variable 347 Selecting the Independent Variables 349 General Considerations 349 Should the Preforecast Period Price Be Included? 350 Choosing the Length of the Survey Period 351 Sources of Forecast Error 352 Simulation 354 Stepwise Regression 355 Sample Step-by-Step Regression Procedure 356 Summary 357 References (Chapters Fifteen-Twenty) and Recommended Readings 358 PART FOUR: FUNDAMENTAL ANALYSIS APPLIEDTHE MARKETS 21 Forecasting Hog Prices 361 Projecting Supply 361 Demand Considerations 364 Price Forecasting Model 1 364 Price Forecasting Model 2 369 Allowing for Forecast Error 370 Projecting Price Highs and Lows 371 Price Forecasts and Trading 372 Conclusion 373 22 Forecasting Cattle Prices, by Bill Gary 375 Consumption Is Entirely a Function of Production 375 Long-Term Supply Factors 376 Feedlot Inventories 379 Seasonality 381 Production Seasonality 382 Consumption Seasonality 384 Price Seasonality 385 Major Secular Changes in the Cattle Industry 388 Conclusion 391 23 Forecasting Grain Prices 392 The Stocks/Disappearance Ratio as a Key Fundamental Indicator 392 A Background Sketch of Wheat Fundamentals 395 Classes of Wheat 395 Production 397 Disappearance 397 Annual Wheat-Price-Forecasting Model 399 A Background Sketch of Corn Fundamentals 404 Production 404 Disappearance 404 Quarterly Corn-Price-Forecasting Model 401 Summary 407 24 Forecasting Soybean Prices, by Anne Frick 408 The Analogous Season Study: A Fundamental Timing Approach 408 Background Sketch of Fundamentals 410 The Soybean Complex 410 U.S. Soybean Production 411 U.S. Exports 411 Soybean Meal Usage 414 Soybean Oil Usage 416 Ending Stocks 416 Key Factors 416 Carryover Stocks 418 Production 420 Total Supply 420 Usage 420 Price Action 422 Combining Factors 422 Consistent Seasonal Patterns 422 Crop-Scare Rally High 423 Harvest Low 424 Postharvest High 425 February Break 425 Selection of Contracts for Seasonal Studies 425 Examples of Analogy Studies 426 Projection of Spring High and Subsequent Low in July 1993 Soybeans 426 Analogous Season Approach Based on Price Action: Projecting the July High and the Setback Low in November Soybeans 428 Incorporating Soybean Oil and Soybean Meal Forecasts 430 Reports and Sources of Information 430 Major Reports 430 Minor Reports 431 Conclusion 432 25 Forecasting Sugar Prices 433 On Tulips and Sugar 433 Production 436 Consumption 439 Price-Forecasting Model 441 Forecasting Prices Before the Start of the Season 444 Conclusion 446 26 Forecasting Coffee Prices, by Sandra Kau! 447 Coffee Before and After Export Controls 447 The Rank Classification Method of Analysis 451 Evaluating the Producer Nation Balance Sheet 451 Export Availability 453 Exports as a Percent of Export Availability 453 Forward Supply Coverage 454 The Basics of Coffee Production 454 Combining the Producer Balance Sheet Variable Rankings 455 Ranking the Production Variables: Two Examples 455 Evaluating the Consumer Nation Balance Sheet 457 Constructing a Consumer Nation Balance Sheet 458 Consumer Stocks 460 Consumer Disappearance 461 Stocks/Disappearance Ratio 461 Ranking the Consumer Variables: Two Examples 462 Deriving a Combined Price Forecast 465 Expanding the Basic Model 468 Conclusion 468 27 Forecasting Crude Oil Prices, by Michael S. Rothman 469 First Things First: Not All Crudes Are Created Equal 469 The Supply/Consumption Balance 470 Consumption 470 Non-OPEC Oil Supplies 471 OPEC Supplies 472 Inventories: The Phantom Data 472 OPEC Politics: The Critical Determinant of Oil Price Forecasting 474 Forecasting Oil Prices: A Synthesis of Methodologies 476 28 Forecasting Copper Prices 480 Supply Factors 480 Demand Factors 481 Economic Indicators 481 Inflation Indicators 482 The Copper Spread as an Indicator 484 Lagging Variables for Availability 487 Translating Fundamentals into Timing Signals 487 Conclusion 494 Appendix: Understanding the Difference between Nearest and Continuous Futures 495 Nearest Futures 495 Continuous Futures 496 Which Price Series Is Better? 497 29 Forecasting Gold (Precious Metal) Prices 498 Gold Fundamentals: What's Not Important 498 Gold and Inflation 499 Currency Price Movements 501 Economic Indicators 504 The Relationship Between Gold and Interest Rates 505 Sentiment Indicators 507 Constructing a Composite Index 508 Conclusion 509 30 Forecasting Currency Rates, by Katherine Jones 511 Purchasing Power Parity Theorem 512 Balance of Payments 514 Interest Rates 516 Economic Factors 518 Political Factors 519 Constructing a -Currency-Forecasting Model: The-$/ DM 520 When Things Go Wrong: Structural Changes and Impact of Government Policies 521 Monetary Agreements 525 Conclusion 526 31 Forecasting Interest Rates, by Katherine Jones 528 Structure of the Market 529 Demand Factors 532 Supply Factors: The Federal Reserve 536 Conclusion 540 Addendum: Pricing the T-Bond Futures Contract 540 32 Forecasting Foreign Interest Rate Markets, by Katherine Jones 544 The Interdependence of the World's Bond Markets 548 Currency Impacts 550 Political Developments 552 Economic Growth 553 Inflation 555 Monetary Policy 556 Fiscal Policy 558 Assessing Risk 558 A Forecasting Example: British Interest Rates 559 Regional Factors and Prospects for the Future 560 Europe 561 Japan/Asia 562 Dollar Bloc Countries 563 Conclusion 563 33 Forecasting the Stock Market, by Courtney Smith 564 What Drives the Stock Market? 565 Selection of Indicators 565 Earnings Growth 566 Valuation 568 Monetary Policy and Interest Rates 574 The Economy, the Business Cycle, and Inflation 578 Inflation 586 Misery Index 586 Sentiment 586 Translating Market Indicators into Timing Signals 589 Tying It All Together 592 Conclusion 593 Appendix: Contract Details 595 Index 625 【下载地址隐藏】：                    点：回复可见地址 游客，如果您要查看本帖隐藏内容请回复