Open Access Open Access  Restricted Access Subscription or Fee Access

The price discovery model based on waveform similarity of sequence with data statistics

Xing Yu

Abstract


This paper studies the price discovery for steel future and copper future. Firstly, it analyses the minute high frequency data of steel future and copper future by using cointegration test, Grainger granger causality test, VECM model, impulse responses function and variance decomposition from the perspective of econometrics. Different from general price discovery measures, this paper produced methodologies with waveform similarity of based on thought of data statistics to measure discovery capacity of steel future and copper future based on data mining . It shows that our model result is consistent with the general model, but it is superior on dynamic discovery model in dynamics price discovery.

Keywords


price discovery model, cointegration test, Grainger granger causality test, VECM, impulse responses function, variance decomposition, data statistics.

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.