Knowledge Commons of Institute of Automation,CAS
Exploring the Interactive Dynamic Influences Between Chinese and US's Future Markets | |
Huang, Haitao1,2![]() ![]() ![]() | |
2022-08-17 | |
会议名称 | China Conference on Command and Control |
会议录名称 | Proceedings of 2022 10th China Conference on Command and Control |
页码 | 917-928 |
会议日期 | 2023-4-21 |
会议地点 | 北京市朝阳区国家会议中心 |
摘要 | In this paper, we focus on investigating the interactive dynamic influences between Chinese and US’s future markets. Based on Chinese and US’s futures daily closing prices, we construct Planar Maximally Filtered Graph of futures’ influences in different periods of time by calculating the Effective Transfer Entropy between different futures and find that influence strength between futures in US’s and Chinese future markets is time-varying. We further confirm that agriculture futures both in Chinese and US’s markets are relatively independent from other futures. And metal futures in LME and COMEX exert influences on Chinese metal, fuel and industrial product futures continuously. In contrast, fuel futures in NYMEX only affect Chinese fuel futures during economic shocks merely. These findings can give us some new insights into the direction, strength and underlying dynamics of influences between Chinese and US’s future market and further guide people make better choices. |
关键词 | dynamic influences influence strength effective transfer entropy |
收录类别 | EI |
语种 | 英语 |
是否为代表性论文 | 否 |
七大方向——子方向分类 | 社会计算 |
国重实验室规划方向分类 | 社会信息感知与理解 |
是否有论文关联数据集需要存交 | 否 |
文献类型 | 会议论文 |
条目标识符 | http://ir.ia.ac.cn/handle/173211/58520 |
专题 | 多模态人工智能系统全国重点实验室 |
通讯作者 | Zheng, Xiaolong |
作者单位 | 1.The State Key Laboratory of Management and Control of Complex Systems, Institute of Automation, Chinese Academy of Sciences 2.School of Artificial Intelligence, University of Chinese Academy of Sciences |
第一作者单位 | 中国科学院自动化研究所 |
通讯作者单位 | 中国科学院自动化研究所 |
推荐引用方式 GB/T 7714 | Huang, Haitao,Zheng, Xiaolong,Zeng, Dajun. Exploring the Interactive Dynamic Influences Between Chinese and US's Future Markets[C],2022:917-928. |
条目包含的文件 | 下载所有文件 | |||||
文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | ||
Exploring the Intera(953KB) | 会议论文 | 开放获取 | CC BY-NC-SA | 浏览 下载 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论