講座題目：頁巖革命及原油動態變遷（Shale Revolution and Shifting Crude Dynamics）

　　主 講 人：吳留仁 教授（美國紐約市立大學巴魯克商學院席坐金融教授）

　　時   間：2018年7月13日（周五）下午16：00

　　地   點：中關村校區國際交流中心406室

　　報名方式：掃描下方二維碼

　　主辦單位：研究生院、校友會辦公室

【主講人簡介】

　　吳留仁，美國紐約市立大學巴魯克商學院席坐金融教授。研究方向涵蓋資產定價，期貨期權定價，信用風險理論，利率期限結構理論，計量經濟，及市場觀微觀結構。在國際頂尖金融經濟雜志發表40余片影響深遠的文章。特別在期權研究和應用方面，作為學術和業界權威，引領世界學術研究的主導方向。同時，吳教授一直工作在金融業界第一線，為投資銀行（如摩根士淡利，加拿大皇家銀行）作定價，風險管理；為數據分析公司（如 Bloomberg）作技術支撐，數據分析，過濾，和定價；為對沖基金和投資公司（如 Caspian Capital Management, Tudor, Automated Trading Desk）研發投資策略和風險管理。近幾年 同合伙人共同創建了緊密結合計算技術，數據平臺，和金融理論的量化對沖基金。

Professor Liuren Wu: Liuren is the Wollman Distinguished Professor of Finance at Zicklin School of Business, Baruch College, City University of New York. Liuren's major research interests include option pricing, credit risk and term structure modeling, market microstructure, and general asset pricing. During the past decade, Liuren has published over 40 articles, many of them in top finance journals such as the Journal of Finance, the Journal of Financial Economics, Review of Financial Studies, the Journal of Financial and Quantitative Analysis, Management Science, and Journal of Monetary Economics. Mr. Wu has worked extensively as consultants in the finance industry, including Bloomberg, Morgan Stanley, Royal Bank of Canada, and several fixed income, equity, and equity options hedge funds and market making firms. As a consultant, he has developed statistical arbitrage strategies, risk management procedures, and quantitative models for pricing fixed income and equity derivative securities. 

【講座摘要】

　　原油價格變動對社會經濟影響深遠，但供給和需求的變動帶來的影響完全不同。社會，企業都應甄別應對。本文提議一種新的期權分析模式，可用來及時，準確判定供給和需求變動對原油的動態貢獻。分析表明，2008年前油價變動多有供給動蕩引起，但之后需求動蕩對油價的貢獻開始占主導地位。2008年的金融危機引起一次大的需求震蕩。之后的頁巖革命更是改變了 原油供給的舊次序，降低的供給震蕩，使需求變動成為主導。航空公司一直以來用石油期貨對沖燃油成本變動。在需求主導的當下，應當減少對沖。

Oil price fluctuates in response to both demand and supply shocks. Major events and structural changes induce large variations in the intensity of the shocks and their relative contribution to the oil price movements. We propose a new methodology that allows timely identification of the shifting contribution from the two types of shock through a joint analysis of crude futures options and stock index options. Applying the methodology to historical data shows that crude futures price movements were dominated by supply shocks in the earlier half of our sample from 2004 to 2008, but have since become much more demand driven. The large demand shock following the 2008 financial crisis contributed to the start of this shift in the dynamics, while the subsequent rise of the shale revolution fundamentally altered the crude supply behavior.  The increasing U.S. shale oil production at a competitive cost has undercut the price-setting power of the OPEC, and lowered the OPEC's incentive to self-regulate its production. As a result of this dynamics shift, investors have shifted from being concerned with crude oil price hikes as a gauge of increasing production cost, to worrying about crude oil price declines as an indication of weakening demand. Identifying the time variation in the relative contribution of demand and supply shocks to crude oil prices can fundamentally improve the efficiency of fuel cost hedging decisions by heavy oil users such as the airline industry. We show that while hedging crude supply shocks can reduce bottom-line fluctuation due to fuel cost variation, hedging with crude futures becomes less desirable when its variation is mainly driven by demand shocks.