Volume 7, Issue 1, January 2019, Page: 9-16
Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market
Wei Cao, School of Economics, Hefei University of Technology, Hefei, P. R. China
Tingting He, School of Economics, Hefei University of Technology, Hefei, P. R. China
Received: Dec. 20, 2018;       Accepted: Jan. 14, 2019;       Published: Jan. 31, 2019
DOI: 10.11648/j.jfa.20190701.12      View  98      Downloads  72
The complex interactions between stock market and commodity market in financial crisis has been investigated by many researchers, but there is less known about how useful the pair coupling of the two markets for predicting financial crisis, where the pair coupling is the hidden essence of market interactions. This article investigates three kinds of couplings, namely time coupling, frequency coupling and space coupling, which are the different aspects of the pair coupling. In addition, a two-layer model, namely CHMM-ANN, is proposed to investigate the couplings and evaluate the predicting abilities based on the couplings. Coupled Hidden Markov Model (CHMM) is adopted at the bottom level to capture the hidden couplings, and then the couplings are put as input to classical Artificial Neural Network (ANN) at the top level to predict financial crisis. The experiment results on real financial data confirm the advantages of the pair coupling in predicting financial crisis.
Financial Crisis Predictability, Pair Coupling, Stock Market, Commodity Market
To cite this article
Wei Cao, Tingting He, Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market, Journal of Finance and Accounting. Vol. 7, No. 1, 2019, pp. 9-16. doi: 10.11648/j.jfa.20190701.12
Copyright © 2019 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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