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

Xing Yu


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.


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

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