棕榈油月间差量化整理

1、印度港口供应=t印度国内供需全球产区供应（其他国家出口主票是印度出口，马来产量L印尼产量中国供应中国需求马来库存 除国内消贯7小阡百 出口剩下的）印尼库存中国库存内库消比外库消比I国外库存国内压力）棕油月间价差1.棕桐油基本面框架:内盘库销比对价差解释有28%负相关，无直接线性关系，但在库销比在100%300%这段有与价差明显的接近线性的负相关关系。内盘库销比在100%300%这段与59价差的负相关度更高些:国内库销比与59价差59价差内盘库消比700%600%500%400%300%200%100%0%外盘库销比当月与价差比较，有23%的负相关。Res i duals;Min 1Q Medi

2、an 3Q Max00.0010.01 f 0.050.1-467.52 -98.5634.35 118.23 302.77Es ti mateStd- ErrorL VdluePr(|t|)(InterceptJ509.41198.342.5680.0151 *mxb-336.25162,232 0720.0464 6nxb-47.8827791.7230.0945 .Coeff i cientb;Signn f- codes:Residual standard -err|t|)2.5680.0151*-2.0720.0464*-L.72J(J.094b.0.001 0.01 * 0.05

3、1 Q.l LRes i dual standard error: 191 on 32 degrees of freedom Multiple R-squared: 0.2334, Adjusted R-squar*ed: 0.L855F -statnc ： 4.871 on 2 ind 32 OF . p-value ： 0. 01423解释度低的原因：第一，月频数据，数据较少（2013年开始一共就42行数），误差会较大。第二，还有其他基本面数据指标没有放进来。解决方案：跟量化结合后加入其他的自变量因子新加入：1 .中国月度库存，月度需求绝对值；2 .印尼棕油月度库存，产量绝对值；3 .马来

4、月度库存，单产，出口，产量；4 .马来月度出口分别至中国，欧洲I,印度。具体价差与基本面量化指标之间的关系5-9价差结果：模型汇总模型RR方调整R方标准估计的误1.916a.839.67887.6991系数模型非标准化系数标准系数tSig.B标准误差试用版（常量）China_Beginning_Invento815.079405.6982.009.052ry-.227.127-.416-1.792.082China_Inventory 0-25%China_Inventory-146.36555.946-.317-2.616.013175%-100%China_Port_Arrival_Vol

5、u2.98259.516.009.050.960me.024.170.024.140.889China_Total_DemandChina_Inventory_to_Sale-.044.266-.038-.165.870s_Ratio10.73824.231.088.443.660Indonesia_Palm_Oil_Yields-.017.077-.057-.213.832Indonesia_Yields 0-25%-101.48591.777-.248-1.106.276Indonesia_Yields25%-75%-96.03956.502-.312-1.700.098Indonesia

6、_Palm_Oil_Inventory.119.064.5231.862.071Indonesia_Inventory0-25%103.04658.993.2671.747.089Indonesia_Inventory75%-100%-95.04256.699-.290-1.676.103MA_Beginning_Inventory.000.000-.712-2.227.032MA_Inventory 0-25%101.52245.980.2562.208.034MA_Inventory 75%-100% -26.00354.618-.082-.476.637MA_Yields.000.000

7、-.576-1.526.136MA_Yields 25%-75%76.24150.760.2431.502.142MA_Yields 75%-100%60.64695.814.178.633.531MA_Outport_Volume.000.000.4761.170.250MA_Outport 0-25%-85.62583.540-.228-1.025.312MA_Outport 25%-75%-149.22257.601-.486-2.591.014MA_Import_Volume5.760E-005.000.018.167.868MA_Domestic_Consumpti on.001.0

8、00.2371.654.107MA_Invcntory_to_Sales_71.60373.260.130.977.335RatioMA_Ratio 0-25%-93.796103.774-.213-.904.372MA_Ratio 25%-75%-43.03660.291-.139-.714.480MA_To_India.000.000-.188-.697.491MA_India 0-25%-80.291102.654-.146-.782.439MA_India 25%-75%-35.40666.001-.112-.536.595MA_To_China-.001.000-.325-1.336

9、.190MA_China 25%-75%-17.67160.032-.057-.294.770MA_China 75%-100%-4.781104.584-.013-.046.964MA_To_Europe-.001.001-.460-1.842.074MA_Euro 0-25%-104.98461.666-.303-1.702.098MA_Euro 75%-100%65.70448.754.1931.348.186对于5-9价差而言,重点关注因子：中国期初库存，中国库存 0-25% ,印尼库存，印尼 0-25% ,和75%-100%分段的库存，马来的期初库存，马来库存0-25%分段，马来出口

10、 25%-75% ,马来出口给中国，马来出口给欧洲0-25%分段。对于59价差模型里基本面因子未来三个月变化可能基本面解释分类因子（万吨）12月3月比例变化中国方卸:中国期初库存506224%仍在增库存马来单产（吨/公顷）1.61.36-15%减产幅度不够马来总出口131.3132.71%马来力回：J来期初库存279275-1%库存仍然较高马来国内消费26.523.9-10%马来出口给中国3528-20%出口较差马来出口至欧洲28.420-30%出口较差印尼方面印尼产量311.8259.1-17%印尼的产量，及库存的下印尼库存256159-38%降会抑制价差下跌的空间因此把明年1-4月的基本面

11、因子数据带进去得到2018年1-4月的月均5-9价差结果如下:1月5-9平均价差：-462月5-9平均价差：-673月5-9平均价差：-834月5-9平均价差：-21 UntitldS普告.X is rsnk dficx/irt to witiiin adimc prcisiojik-40, 2777 -w* g 旧 -B3.0963 TO. 61641-5价差结果:模型汇总模型RR方调整R方标准估计的误1.917a.842.69267.5248介差3002 on100-100-200-300-500-6do-7001 4 7 10 13 16 1口 22 25 28 31 34 37 40

12、43 46 4D 52 55 58 G1 64 G7 70 73真文值模拟值系数a模型非标准化系数标准系数tSig.B标准误差试用版（常量）China_Beginning_Invento125.395310.130.404.688ry-.128.111-.301-1.155.255China_Inventory 0-25%China_Inventory144.23374.356.4571.940.060125%-75%China_Port_Arrival_Volu43.61043.874.180.994.327me-.530.138-.709-3.837.000China_Total_Dema

13、ndChina_Inventory_to_Sale.519.217.5912.393.022s_Ratio14.86923.823.122.624.536Indonesia_Palm_Oil_Yields.060.061.236.980.334Indonesia_Yields 0-25%-224.232102.683-.216-2.184.035Indonesia_Yields75%-100%-35.47147.189-.142-.752.457Indonesia_Palm_Oil_Inventory-.012.049-.062-.234.817Indonesia_Inventory0-25%

14、-113.85385.364-.324-1.334.190Indonesia_Inventory25%-75%-29.35643.794-.121-.670.507MA_Beginning_Inventory.000.000-.446-1.440.158MA_Inventory 0-25%-6.74267.281-.022-.100.921MA_Inventory 25%-75%68.50243.700.2841.568.125MA_Yields.000.000-.411-1.494.144MA_Yields 0-25%131.46054.654.2992.405.021MA_Yields 7

15、5%-100%25.10240.311.103.623.537MA_Outport_Volume.000.000.164.552.585MA_Outport 0-25%-39.81153.436-.091-.745.461MA_Outport 75%-100%22.28239.588.090.563.577MA_Import_Volume.001.000.1831.541.132MA_Domestic_Consumpti-1.090E-005.000-.004-.032.975onMA_Invcntory_to_Sales_55.77061.121.105.912.367RatioMA_Rat

16、io 0-25%-1.69241.490-.006-.041.968MA_Ratio 75%-100%-19.29949.674-.065-.389.700MA_To_India.000.000.099.430.669MA_India 0-25%-85.48543.793-.194-1.952.059MA_India 75%-100%-8.53647.717-.034-.179.859MA_To_China.000.000-.188-.735.467MA_China 25%-75%23.76437.891.096.627.534MA_China 75%-100%15.46564.134.057

17、.241.811MA_To_Europe.000.001.047.197.845MA_Euro 0-25%-6.29953.074-.022-.119.906MA_Euro 75%-100%-34.15741.339-.126-.826.4149-1价差结果:卜型汇总模型RR方调整R方标准估计的误差1.855 a.731.489101.16249-1价差1 4 7 10 13 1G 19 22 2S 28 31 34 37 40 43 46 49 &2 S& S8 6 4 67 70 73真实值模拟值系数a模型非标准化系数标准系数tSig.B标准误差试用版（常量）933.107366.9602

18、.543.015China_Beginning_Invento1-.157.147-.348-1.070.291ryChina_Inventory 0-25%-.99670.915-.002-.014.989China_Inventory75%-100%29.55467.723.101.436.665China_Port_Arrival_Volu-.204.293-.195-.698.490meChina_Total_Demand-.364.346-.343-1.052.299China_Inventory_to_Sale-14.42332.091-.130-.449.656s_RatioIn

19、donesia_Palm_Oil_Yiel.028.098.099.290.774dsIndonesia_Yields 0-25%-20.21464.703-.053-.312.756Indonesia_Yields-66.17475.422-.205-.877.38675%-100%Indonesia_Palm_Oil_Inve-.003.072-.012-.038.970ntoryIndonesia_Inventory-86.77472.130-.307-1.203.23625%-75%Indonesia_Inventory-114.997122.150-.300-.941.35275%-

20、100%MA_Beginning_Inventory-2.399E-005.000-.054-.133.895MA_Inventory 25%-75%-42.32351.931-.150-.815.420MA_Inventory 75%-100% 85.746103.088.255.832.411MA_Yields.000.000-.300-.836.408MA_Yields 25%-75%11.00460.515.039.182.857MA_Yields 75%-100%216.340108.935.6571.986.054MA_Outport_Volume.000.000.127.294.770