? ??????????????????, 1848 ?????????????????? (Chicago Board of Trade, CBOT or CBT)?,????????????

1
?24? ????
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24.1 ????????????
1. ???????
? ?????????????
? ??????????????????, 1848 ??????????????????
(Chicago Board of Trade, CBOT or
CBT)?,????????????
? ????????????????,????????????????????
4
2. ??????
? ???????? (Standardized)????????,????????????????
?,?????????
? ????????
???? (Commodity Futures) ??????????????? ????
(Financial Futures) ??????????????????
? ?????????????????,????????????
5
3. ??????? 
????????????
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4. ?????
????????????? (Initial Margins)??
??????????,?????????????? (Maintenance Level
Margins)??,?????????,????????????
?????? (Marking to Market)??????? (Daily
Settlement)??
??????????????????????????????
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? ??????? ?
4 ? 1 ???????????,?????? ????
400.00/o.z.,???? 100 o.z., ?????
4,000,????? 3,000? ? 4 ? 19 ?????????,4 ? 20
???????? 387.50/o.z.,??????????
?4 ? 20 ?????? 4,000 (387.50/o.z. -
400.00)100 o.z. 2,750,?????? 4,000 - 2,750
1,250?
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24.2 ????????
1. ??????
???????? (CBOT) ???????? (CME) ?????????
(COMEX)
(1) ???????? (Chicago Board of Trade, CBOT)
????????? (CBOT)????????????????,? 1848
????,??????,???????
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? CBOT ????,??????????????,????? (FCM?IB?CPO?CTA)
????????????,???????????????
? CBOT ?????
? 1975 ???????,?????(????)?? ? 1982 ?????????
(Futures Options)? ? 1986 ???????????,?????? ?
1987 ???????????,??????????????? ? 1992
?????????? (CME) ????????????????? (Globex)??
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(2) ???????? (Chicago Mercantile Exchange,
CME)
? ????????? (CME)?????????????????
(CBOT)?,????????????
? CME ?????
? 1975 ? 1976 ?????????????,?????????? ? 1977
????????????? ? 1982 ???????????,????? ? 1984
??????????? (SIMEX)???,?????????????????
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? 1992 ? 6 ?CBOT?CME ???? (Reuters) ?????????????
(Globex)?,????????????????????
???????? (Globex) ????????
???? ??? ???? (????)
????????????????????? CME 0430 0600 a.m. 0800 0930 a.m.
???????? CME 0600 a.m. 1000 p.m.
????????a?????LIBORb CME 0500 0600 a.m. 0745 a.m. 0800 p.m.
???????? CBOT 1230 0800 p.m.
a????? (Eurodollar)?????????????? b???????????
(LIBOR)?????????????????????
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(3) ??????? (Commodity Exchange, Inc., COMEX)
? 1893 ????????????????????????????,???????????
(COMEX)??
? COMEX ??????????????????,?????????????,?????????
????
? 1986 ? 11 ? COMEX ????????? (Sydney Futures
Exchange)???,???????????
? 1992 ? 10 ??? Eurotop 100 ??????1993 ? 5
????????????? (Jet Fuel) ???
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(4) ??????? (Other Futures Exchanges)
??? ?? ? ?
???????(New York Mercantile Exchange, NYMEX) ??? NYMEX ??? (??????????????????????) ????,???? (Platinum) ???
??????? (New York Futures Exchange, NYFE) ??? ???????? (NYSE) ??,????? NYSE ??????,????????????
?????????? (CSCE) ??? ????????????????
??????? (New York Cotton Exchange, NYCTN) ??? ?????????? (????) ?????
????????? (Kansas City Board of Trade, KCBT) ??? ???????????????
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??? ?? ? ?
??????? (Mid-America Commodity Exchange, MCE) ??? ????????????????? (CME) ??,??????
????????????? (Minneapolis Grain Exchange, MGE) ???? ??????????
???????? (Twin Cities Board of Trade, TCBT) ???? ?????????????? (MGE) ???,????????????
???????(Philadelphia Board of Trade, PBT) ?? PBT ????????? (PSE) ???,??????????
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2. ??????
(1) ??????
? ??????????? (IPE)
(International Petroleum Exchange of London, IPE)
? IPE ??? 1980 ?? (?????????),1981 ? 4 ??????
? 1988 ??????????? (Brent Crude Oil
Futures)?,??????? 1992 ?????????? (Unleaded
Gasoline Futures)?,?????????
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? ???????????????
? LIFFE ??? 1982 ??,1992 ? 3 ????????????
(LTOM)???,??????????????????? (London
International Financial Futures and Options
Exchange, LIFFE)?,???????
? ???????????????,1989 ????????? (Automated Pit
Trading),??????????????? 04300600 ????
? ??LIFFE ??????????? (London Clearing House,
LCH)???,????? APT ????? CPS ???????????????
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(2) ??????
? ?????????? (Marche'a Terme International de
France, MATIF)???? 1986 ? 2 ?,??????????????,?????
????????????
? MATIF ????
? ?????????????????????????? ?
????????????????????? ? ??????????????????
?????????????????????????? (PIBOR)????????? (CAC
40 ??) ??
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(3) ??????
? ??????????? (Deutsche Terminbourse, DTB)????
1990 ? 1 ??,???????
? 1998 ????????????? (DTB)????????????????
(SOFFEX)???? ?Eurex ????,????????????????
? ??????????????????DAX ?????? ?DAX
???????,??????????
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3. ??????
(1) ??????
? ?????????????,?????,??????????????????
? ???????????
? ???????????????????????????????????????????????
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? ?????????????
? ???????1985 ? 10 ???????????,1988 ? 9
????????????????? (Topix Futures)??
? ??????? (Osaka Stock Exchange)1988 ? 9
??????????? (??????????????)?
? ??????????? (Tokyo International Financial
Futures Exchange, TIFFE)1989 ? 4
???,????????????????????????????????????
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(2) ??????
? ?? 1976 ????????????,1977 ???????????
(HKFE)?,???????????????????
?????????????????
? 1986 ? 5 ?????????????? ? 1990 ? 2
???????????? ? 1991 ? 6 ???????????? ? 1993
?????????????????
? 2000 ? 3 ??????? (HKSE)??????????
(HKFE)?????????? (HKex)??
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(3) ???????
? ???? 1984 ???????????? (Singapore International
Monetary Exchange, SIMEX)?,?????????? (CME)????
? ??????????????????????????????????????????
(1989 ????????,1990 ?????)?
? 2000 ? 11 ?????????? (SIMEX)???????????
(SES)??????????? (Singapore Exchange, SGX)??
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24.3 ????
1. ???????
? ? ?? ???? ? ? ??????
?? ???? ???? (???) ?? ?? ????? ??57??? ??????????? ?????????,????????
?? (???)?? ??????? 5????,10???? ????,??????
?? ?? (???) ?????????? ?????,56 ???,910 ???,???? ??????????
???? ????? ????????? ?????????????? ????????????
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? ? ?? ???? ? ? ??????
?? ?? (??) ?? (???????)???? (???????)??? (???????) ?????????,???????,?? ???? ????????????,??????????,??????
?? ?? (?) ??? (???????)??? (???????)???? ????,?????????? ????????????,???????
? ?? (?) ??????,?????????????? ?????????? ???????????????
?? ?? (?) ??????????????????????????? 36 ???,812 ???? ??????????,???????????
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2. ???????
??????? (Live Stock Futures)????????,????
?? (Live Cattle)???? (Feeder Cattle), ??
(Live Hogs)???? (Pork Bellies), ?????
(Pound) ????
? ??????????????????????????
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3. ??????
????? (Metal Futures)???????????? (COMEX)????????
???????????????? ??????????????????
??????,???????
??????,???????,?????? ???
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???????
? ? ? ? ???? ? ? ??????
?? Gold ????? ???????????????? ???????????? ??????,????????????????????
?? Silver ???????? ?????? ????????? ????,???????????
?? Platinum ??? ???????????? ???????,????????????? ??????????????????,?????????????
? Copper ??? ????? ?????????? ???????????
? Alu-minum ??? ??????????? ??????????? ????????,???????
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? ? ? ? ???? ? ? ??????
? Lead ??? ???????????????????? ??????????????? ????????,???????
? Zinc ??? ???????????????? ???????? ????????,???????
? Nickel ??? ????,??????????? ????????? ????????,???????
? Tin ??? ?????????????????? ???????? ????????,???????
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4. ??????
? ????????? (NYMEX)
? ???? - ???? (Unleaded Gasline)???? (Light Sweet
Crude Oil)???? (Sour Crude Oil)? ? ????? - ??
(Heating Oil)??? (Propane)???? (Natural Gas)?
? ????????? (IPE)
? ???? - ???? (Unleaded Gasline)?????? (Brent
Crude Oil)???? (Gas Oil)???? (Naptha)?
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5. ?????
Ft,T St Ct,T,
?? Ft,T ????????? T???? t ???, St ?????? t
?????, Ct,T ?????? t ???? T ??????
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???????? (Ft,T lt St) ? ?????? (Ct,T lt
0) ?????????? (Backwardation)?,??????????????
??????????
32
6. ????
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24.4 ????
? ?????????
???????? (CME) ??????? (IMM) ? 1972 ?????????????
1. ?????????
? ?? (?)????,?????
? ???? (C)??????,?????
? ?? (Euro)????,???????????
? ?? (?)1990 ????,2000 ????????????
? ???? (SFr)???????????
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2. ??????
???????????? (Delivery Dates)????????????????????,
????????
??????????????????,??????????????????
??????,???????
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? ?????????????????
36
? ?????????
3 ???????????
?????? ?62,500, ???? 1.5682 /?, ?????
2,000, ????? 1,500
?????????? 1.5602/?,??? 1.5562/?, ????????????
? ???????????
? ???
?? (1.5562/? - 1.5682/?) ? ?62,500
-750, ??? 2,000 - 750 1,250 lt ?????
1,500 ?
?????? 750?
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24.5 ????
? ???????? (CBOT) 1975 ????? GNMA (Government
National Mortgage Association) ??????? ? ????????
(CME) 1976 ??? 90 ???????????? ? ???????? (CBOT)
1977 ???????????????? ? ???????? (CME) 1981 ???
90 ??????????????

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1. ??????????
????????????????,???????????????? (Eurodollar)????
? ???????? (CME) ?????????????????????????
(London Interbank Offered Rate, LIBOR)? ?
? ????????????? (Tick) ??????? (Basis
Point)?(0.01 0.0001)?
? ????????????? 90 ???? (????????),???????????????
??????????
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2. ??????????
??????????? (CBOT)?
? ?????????????? 20 ?? ? ????? 15 ????????? ?
???????????? 2?5?10 ??? (????? 10 ?)?
??????????????? 10 ???,??????????
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? ?? ?????????
??? 108-07,??????? 1087/32 ? 100,000
108.21875 ? 100,000 108,218.75?
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3. 90 ????????
90 ?? (13 ?) ????????? (Treasury Bill
Futures)???????? 1 ????,????????????,????
? ??????????????,???????????????
? ????????,????????????????,??????????
(?????),?????????
43
24.6 ??????
1. ????????
???????????
???? ?????? ??????? ???????
?? 500?SP ?? 500?NYSE ?? 500?VLCA ??
??? ???????? (CME - IOM) ??????? (NYFE) ????????? (KCBT)
???? ????????????? ????????????? ?????????????
??? ?????????????? ?????????????? ??????????????
????? ????????????? ??????????????? ?????????????
? (Tick) 0.05 (25) 0.05 (25) 0.01 (5)
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? ?? ???????
?????????????? ?? 500? ?? 495 ???,????? 475
???? ?? 495 ???,????? 515 ???? ??????
??????????
45
2. ???????????
(1) ??? (Speculators)
???????????????????????????????????????
? ??????????????
????? 480 ????? SP ???? (?? 500),?????
6,000,????? 5,000 ?
? ????????????? ? ??? 5 ???,???????,? 485
?????,??????,???????
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(2) ??? (Hedgers)
? ?????????
??????? 5 ? NYSE ????,?? 2,000 ? ??????
40,??????? (Beta)???? 1.2??????????????????
(NYSE Composite Index Futures)?(?? 500) ???,????
400 ??
? ??????????????? ? ????????????,????????? 40
?,??????????????? 4.2,???????
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? ????
?????? 2 ????????
? ????
????-4.2 ? 10,000 -42,000, ????500 ? 40
? 2 40,000, ?????? 2,000?
48
3. ???????????
????????????
49
Ft,T St INT - E(DT-t),
?????????? (INT - E(DT-t) lt 0)
Ft,T - St INT - E(DT-t) lt 0,
Ft,T lt St,??????????,??????????????????????,?????
???
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24.7 ?????????
1. ?????????
??? 1981 ???????????????,???????????????????,??
?????????,?????????
1988 ???????????,???????????,?????????????
1993 ? 1 ? 10 ??????????????,???????????????
(????????????),????????
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2. ???????????
?????????? (CME)????????? (SGX)? 1997 ? 1
??????????????
CME ? SIMEX ???????????
??? ?? ??? ???? ???? ???
??? CME ???????? 124 ? 250 ?? 0.02 ? ?????7
??? SIMEX ???????? 76 ? 100 ?? 0.1 ? ?????7
? ???????? (CME) ?????????????????????,?????????
52
3. ?????????
? 1998 ? 7 ?????????? (TX)?,?????????????? ? 1999
? 7 ?????? (TE)??????? (TF)?????????? ? 2001 ? 4
???????????? (MTX)?? ? 2003 ? 6 ?????? 50 ????
(T5F)?,????????? 50 ?? (ETF)??????
53
??????????????
? ? ?????? ?????? ?????? ??????
? ? TX MTX TE TF
????? 1998.7.21 2001.4 1999.7.21 1999.7.21
???? ??????NT200 ??????NT50 ??????NT4,000 ??????NT1,000
???? ?? 1 ? NT200 ?? 1 ? NT50 ?? .05 ? NT200 ?? .2 ? NT200
??? ????? ????? ????? NT9 ? NT6.9 ? NT6 ? NT2.3 ? NT1.8 ? NT1.5 ? NT7.5 ? NT5.8 ? NT5 ? NT7.5 ? NT5.8 ? NT5 ?
????? ???????????,????????,????????????????????????????? ???????????,????????,????????????????????????????? ???????????,????????,????????????????????????????? ???????????,????????,?????????????????????????????
54
(???)
? ? ?????? ?????? ?????? ??????
????? ??????????????????? 7 ??????????????????? 7 ??????????????????? 7 ??????????????????? 7
???? ???? .50/00,??????? NT1,200 ???? .50/00,??????? NT1,200 ???? .50/00,??????? NT1,200 ???? .50/00,??????? NT1,200
???? 845 am145 pm 845 am145 pm 845 am145 pm 845 am145 pm
???? ????????????????????????? ? ??? 2,000 ? ? ???? 4,000 ? ? ??????????,????????????? ? ?????????????? ????????????????????????? ? ??? 2,000 ? ? ???? 4,000 ? ? ??????????,????????????? ? ?????????????? ????????????????????????? ? ??? 2,000 ? ? ???? 4,000 ? ? ??????????,????????????? ? ?????????????? ????????????????????????? ? ??? 2,000 ? ? ???? 4,000 ? ? ??????????,????????????? ? ??????????????
???? ????????????,??? 3?6?9?12 ????????,?? 5 ???????????? ????????????,??? 3?6?9?12 ????????,?? 5 ???????????? ????????????,??? 3?6?9?12 ????????,?? 5 ???????????? ????????????,??? 3?6?9?12 ????????,?? 5 ????????????
????? ????????? 3 ????,???????????????? ????????? 3 ????,???????????????? ????????? 3 ????,???????????????? ????????? 3 ????,????????????????
????? ????????????????? 15 ???????? ????????????????? 15 ???????? ????????????????? 15 ???????? ????????????????? 15 ????????