A key determinant of commodity price Co-movement: The role of daily market liquidity
Sign Up to like & getrecommendations! Published in 2019 at "Economic Modelling"
DOI: 10.1016/j.econmod.2019.01.004
Abstract: Abstract Daily price co-movement across different commodity classes and its key determinant are investigated in this paper. Using co-integration and Granger causality analysis, we identify a common liquidity factor which drives prices of five commodities… read more here.
Keywords: key determinant; price; commodity; price movement ... See more keywords
Stock Price Co-Movement and the Foundations of Pairs Trading
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DOI: 10.1017/s0022109018000789
Abstract: We study the theoretical implications of cointegrated stock prices on the profitability of pairs-trading strategies. If stock returns are fairly weakly correlated across time, cointegration implies very high Sharpe ratios. To the extent that the… read more here.
Keywords: pairs trading; foundations pairs; movement foundations; stock price ... See more keywords
Study on the price co-movement among the Asia Pacific, European and Chinese coal markets – based on the empirical analysis of MS-VEC model
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DOI: 10.1080/00036846.2016.1205720
Abstract: ABSTRACT In this article, based on weekly data of the three major coal markets (the Asia Pacific, Europe and China) from March 2008 to November 2014, an empirical research on their mutual influence and price… read more here.
Keywords: coal; coal markets; price movement; vec model ... See more keywords
DPP: Deep predictor for price movement from candlestick charts
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DOI: 10.1371/journal.pone.0252404
Abstract: Forecasting the stock market prices is complicated and challenging since the price movement is affected by many factors such as releasing market news about earnings and profits, international and domestic economic situation, political events, monetary… read more here.
Keywords: deep predictor; price; predictor price; price movement ... See more keywords