We analyse forward prices observed at the Fishpool market, and propose a two-factor continuous-time stochastic process for modelling the time dynamics. The data analysis reveals that the two factors can be assumed to be a non-stationary compound Poisson process and a stationary continuous-time autoregressive dynamics, describing the bumps observed in the forward curves. We use the model to analyse the risk premium in the forward markets, and find a negative premium in the long end of the market which is in line with the theory of normal backwardation. However, contracts with short time to maturity have a risk premium with randomly changing sign, pointing towards a hedging pressure also induced by the demand-side of the market.

我们分析了鱼池市场上观察到的远期价格，并提出了一种用于模拟时间动态的两因素连续时间随机过程。数据分析表明，这两个因素可以被认为是非平稳复合泊松过程和平稳的连续时间自回归动力学，描述了在前向曲线中观察到的颠簸。我们使用该模型对远期市场的风险溢价进行分析，并在长期市场中发现负溢价，这与正常的现货溢价理论是一致的。但是，到期时间短的合约具有风险溢价，其符号随机变化，这表明市场需求侧也引发了套期保值压力。