教師資料查詢 | 類別: 期刊論文 | 教師: 張紘炬 Horng-jinh Chang (瀏覽個人網頁)

標題:A Reinterpretation of Empirical Mode Decomposition using Spectral Analysis Signal Reconstruction Method: Applications for Price Discovery of Futures and Spot Prices on WTI
學年99
學期2
出版(發表)日期2011/03/01
作品名稱A Reinterpretation of Empirical Mode Decomposition using Spectral Analysis Signal Reconstruction Method: Applications for Price Discovery of Futures and Spot Prices on WTI
作品名稱(其他語言)
著者張紘炬(Horng Jinh Chang); Pai, Ming-chu; Goo, Y. Jia; Hsu, Shih-chang
單位淡江大學經營決策學系
出版者
著錄名稱、卷期、頁數Advanced Institute of Convergence IT,vol.6, number 3,March 2011, P.132-145
摘要There are many studies on the correlation between spot prices and futures, most of them use stationary data for analysis. As a result, most research on the correlation between spot prices and futures use the rate of return for empirical analysis. In fact, stationary transformation often confuses the original nature of the data. Therefore, this study selects the West Texas Crude oil spot and futures prices as empirical objects, and applies [19] empirical mode decomposition (EMD). The EMD method decomposes the time sequence into several intrinsic mode functions (IMFs) and a monotonic function. Spectral analysis reveals IMF cycles, and aggregates IMFs into three component sequences based on the classification of practice and theory: short-term, medium-term, and long-term. This approach produces cumulative intrinsic mode functions (CIMFs). This study discusses cross correlation using the cross-correlation function and VAR. Results show that a short-term change of futures leads to price discovery for a short-term change in spot prices. This result is consistent with previous studies on price discovery using the rate of return. Unlike previous research, this study shows that a medium-term change of futures also leads to price discovery for a medium-term change in spot prices.
關鍵字Empirical Mode Decomposition;Price Discovery;Cumulative Intrinsic Mode Functions
語言英文
ISSN1975-9320 (Print) 2233-9299 (Online)
期刊性質國外
收錄於EI;
產學合作
通訊作者
審稿制度
國別韓國
公開徵稿
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