Behavioral finance between the spot and futures markets based on multilayer network

作     者：Zhang Sicong Dai Jianzhuo Huang Wenjing Mi Xinping Zhang Sicong;Dai Jianzhuo;Huang Wenjing;Mi Xinping

作者机构：Electric Power Research InstituteState Grid Jiangsu Electric Power Co.Ltd.Nanjing 210013China Jiangsu Anfang Electric Power Technology Co.Ltd.Taizhou 225300China 

出 版 物：《The Journal of China Universities of Posts and Telecommunications》 (中国邮电高校学报（英文版）)

年 卷 期：2023年第30卷第6期

页      面：82-88页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

基　　金：supported by the Science and Technology Foundation of State Grid Corporation of China(SGCC)(J2022116) 

主　　题：multilayer network spotmarket futuresmarket 

摘      要：In order to study the financial behavior of investors in the spot market,the transmission process of futures prices to spot prices is ***,a coarse-graining method is proposed to construct a dual-layer coupled complex network of spot price and futures ***,to characterize the financial behavior of investors in the spot market,a price coupling strength indicator is introduced to capture investors’overreaction and underreaction *** simulation results show that,despite the focus of researchers on arbitrage opportunities between futures and spot markets,investors in the spot market will not overreact or delay when the acceptance level of price fluctuations remains *** the contrary,when the stable coefficient of the price difference between the futures and spot markets remains unchanged,investors undergo a nonlinear process of overreaction followed by underreaction as their acceptance level of price fluctuations increases.