楼主: sunlala
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[学科前沿] 求助:为什么基差波动较 现货价格、期货价格波动要稳定? |
大专生 88%
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回帖推荐Chemist_MZ 发表于2楼 查看完整内容 Intuitively, the volatility of basis is the volatility of your hedging portfolio( long spot, short future). So when you hedge the spot, you reduce the risk. The volatility is risk. So the volatility of basis is much lower than either the spot or the future. Otherwise there is no meaning to do the hedge.
A more formal explanation is that future price equals spot price plus something we call th ...
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