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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
Authors:  Li, Yuze;  Wang, Shouyang;  Wei, Yunjie;  Zhu, Qing
Favorite  |  View/Download:43/0  |  Submit date: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)  
Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy 期刊论文
COMPUTATIONAL ECONOMICS, 2021, 页码: 22
Authors:  Zhan, Baoqiang;  Zhang, Shu;  Du, Helen S.;  Yang, Xiaoguang
Favorite  |  View/Download:47/0  |  Submit date:2022/04/02
Statistical arbitrage  Cointegration  Machine learning  Opportunities exploration  
外汇欧式期权在市场不完备下的对冲误差分析 期刊论文
系统工程理论与实践, 2019, 卷号: 39.0, 期号: 011, 页码: 2739-2749
Authors:  彭程;  李爽;  包莹;  赵延龙
Favorite  |  View/Download:66/0  |  Submit date:2021/01/14
外汇欧式期权  Delta对冲  对冲误差  摩擦系数  
Supply option contracts with spot market and demand information updating 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 卷号: 266, 期号: 3, 页码: 1062-1071
Authors:  Zhao, Yingxue;  Choi, Tsan-Ming;  Cheng, T. C. E.;  Wang, Shouyang
Favorite  |  View/Download:105/0  |  Submit date:2018/07/30
Supply chain management  Supply chain contract  Option contract  Spot market  Demand information updating  
Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk? 期刊论文
EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION, 2017, 卷号: 13, 期号: 12, 页码: 8367-8382
Authors:  He, Zhifang;  Huang, Chuangxia;  Gong, Xu;  Yang, Xiaoguang;  Wen, Fenghua
Favorite  |  View/Download:84/0  |  Submit date:2018/07/30
downside realized semi variance  stock spot market  futures market  risk periods  forecasting power  
Demand information and spot price information: Supply chains trading in spot markets 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2015, 卷号: 246, 期号: 3, 页码: 837-849
Authors:  Zhao, Xuan;  Xing, Wei;  Liu, Liming;  Wang, Shouyang
Favorite  |  View/Download:58/0  |  Submit date:2018/07/30
Supply chain management  Information updating  Spot market  Forward contract  Dual sourcing  
testinglinearandnonlineargrangercausalityincsi300futuresandspotmarketsbasedonnewconceptsofnonlinearpositivenegativespillover 期刊论文
journalofsystemsscienceandcomplexity, 2014, 卷号: 27, 期号: 4, 页码: 729
Authors:  Zhou Pu;  Lu Fengbin;  Wang Shouyang
Favorite  |  View/Download:52/0  |  Submit date:2020/01/10
基于期权和B2B电子交易的供应链均衡策略 期刊论文
管理科学学报, 2014, 卷号: 17.0, 期号: 006, 页码: 1-12
Authors:  尤晓岚;  冯耕中;  徐金鹏;  汪寿阳
Favorite  |  View/Download:43/0  |  Submit date:2021/01/14
B2B电子交易市场  期权合约  市场流动性  供应链均衡  
Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2014, 卷号: 27, 期号: 4, 页码: 729-742
Authors:  Zhou Pu;  Lu Fengbin;  Wang Shouyang
Favorite  |  View/Download:49/0  |  Submit date:2021/01/14
STOCK INDEX  MODEL  China stock market  negative volatility spillover  nonlinear Granger causality test  risk absorption  volatility spillover  
基于Bayesian-SV-SGT模型的原油价格‘Value at Risk’估计 期刊论文
系统工程理论与实践, 2011, 卷号: 31.0, 期号: 1.0, 页码: 8-17
Authors:  柴建;  郭菊娥;  龚利;  汪寿阳
Favorite  |  View/Download:53/0  |  Submit date:2021/01/14
风险分析  SV-SGT模型  Bayesian分析  VaR  广义误差分布(GED)