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Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets
期刊论文
ENERGY ECONOMICS, 2022, 卷号: 117
作者:
Luo, Jiawen
;
Marfatia, Hardik A.
;
Ji, Qiang
;
Klein, Tony
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浏览/下载:0/0
  |  
提交时间:2023/05/30
Futures markets
MHAR-CSV model
Co-volatility
Time-varying volatility connectedness
Asymmetric volatility spillover
Commodity markets
A New Hybrid VMD-ICSS-BiGRU Approach for Gold Futures Price Forecasting and Algorithmic Trading
期刊论文
IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS, 2021, 卷号: 8, 期号: 6, 页码: 1357-1368
作者:
Li, Yuze
;
Wang, Shouyang
;
Wei, Yunjie
;
Zhu, Qing
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  |  
浏览/下载:13/0
  |  
提交时间:2022/04/02
Gold
Forecasting
Autoregressive processes
Predictive models
Signal resolution
Deep learning
Mathematical model
Algorithmic trading
bidirectional gated recurrent unit (BiGRU)
gold futures price forecasting
variational mode decomposition (VMD)
Macro factors and the realized volatility of commodities: A dynamic network analysis
期刊论文
RESOURCES POLICY, 2020, 卷号: 68
作者:
Hu, Min
;
Zhang, Dayong
;
Ji, Qiang
;
Wei, Lijian
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  |  
浏览/下载:9/0
  |  
提交时间:2021/01/16
The heterogeneous dependence between global crude oil and Chinese commodity futures markets: evidence from quantile regression.
期刊论文
Applied Economics, 2019, 卷号: Vol.51 No.28, 页码: 3031-3048
作者:
Zhu, HM
;
Duan, R
;
Peng, C
;
Jia, XH
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/17
commodity futures market
Crude oil
heterogeneous dependence
quantile regression
structural breaks
The heterogeneous dependence between global crude oil and Chinese commodity futures markets: evidence from quantile regression
期刊论文
Applied Economics, 2019, 卷号: Vol.51 No.28, 页码: 3031-3048
作者:
Huiming Zhu
;
Rong Duan
;
Cheng Peng
;
Xianghua Jia
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/17
Crude oil
commodity futures market
heterogeneous dependence
structural breaks
quantile regression
High and Low Prices Prediction of Soybean Futures with LSTM Neural Network
会议论文
Proceedings of the IEEE International Conference on Software Engineering and Service Sciences, ICSESS, 2018-11-23
作者:
Wang, C.
;
Gao, Q.
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  |  
浏览/下载:17/0
  |  
提交时间:2019/12/30
Costs
Electronic trading
Financial markets
Forecasting
Profitability
Software engineering
BP neural networks
Commodity exchange
High price
low prices
Mean absolute error
Prediction model
Price prediction
soybean futures
Long short-term memory
Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market
期刊论文
JOURNAL OF FUTURES MARKETS, 2018, 卷号: 38, 页码: 243-270
作者:
Zhao, Yue
;
Wan, Difang
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浏览/下载:4/0
  |  
提交时间:2019/11/19
investor structure
price impacts
trading intensity
Momentum and reversal strategies in Chinese commodity futures markets
期刊论文
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2018, 卷号: 60, 页码: 177-196
作者:
Yang, Yurun
;
Goncu, Ahmet
;
Pantelous, Athanasios A.
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  |  
浏览/下载:11/0
  |  
提交时间:2019/11/26
Inter-day and intra-day frequencies
Single-sort and double-sort strategies
Momentum
Chinese commodity futures market
Reversal
Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non-energy sectors
期刊论文
JOURNAL OF FUTURES MARKETS, 2018, 卷号: 38, 页码: 1246-1261
作者:
Liu, Yang
;
Han, Liyan
;
Yin, Libo
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/30
energy/non-energy futures
financial intermediation
long-term
news implied volatility
stock markets
Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non-energy sectors
会议论文
JOURNAL OF FUTURES MARKETS, 2018-10-01
作者:
Liu, Yang
;
Han, Liyan
;
Yin, Libo
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/30
energy/non-energy futures
financial intermediation
long-term
news implied volatility
stock markets
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