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Study on the Intraday Pattern and the Dynamic Correlation Among Return,Volume and Open Interest——Evidence from Chinese Commodity Futures Markets

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Journal of Systems Science & Complexity 2015年第1期28卷 156-174页

作者： LIU Xiangli wang shouyang School of Finance Central University of Finance and Economics Academy of Mathematics and Systems Science Chinese Academy of Sciences

This paper uses minute by minute data series from Chinese commodity futures markets to study patterns of intraday effect and discovers the L pattern of absolute return and *** is different from stock market,which has a distinctive pattern of *** financial market microstructure theory,traders' psychology and trading mechanism are applied to explain *** this paper studies the factors that influence volatility of return and the lagged *** results show that there is a bilateral Granger causality among any two of the absolute return,volume and open interest,and it is different from the empirical results of the stock market,in the sense that there is only a unilateral Granger causal relationship from volume to absolute *** authors also analyze the dynamic relationship among these three *** empirical results tell that the influence of open interest on volatility of absolute return and volume is weak,and there is a strong correlation between absolute return and *** investment suggestions are offered from the analysis mentioned above.

关键词： Granger causality high-frequency data intraday effect market microstructure vector autoregression.

A Hierarchical Forecasting Model for China's Foreign Trade

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Journal of Systems Science & Complexity 2020年第3期33卷 743-759页

作者： SUN Yuying ZHANG Xun wang shouyang Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190China Center for Forecasting Science Chinese Academy of SciencesBeijing 100190China School of Economics and Management University of Chinese Academy of SciencesBeijing 100190China

Analyzing the underlying characteristics of trade values movements has attracted much attention in the domestic ***,the proposed understanding of these characteristics is limited by the intrinsic complexity of the imports/*** economic systems are naturally organized by hierarchies,a novel hierarchical model is proposed in this paper to forecast China's foreign ***,the foreign trade data are disaggregated from perspectives of trading partners and trading products,forming two independent hierarchical models with total exports and imports as target ***,a bottom-up strategy is *** bottom time series are modelled by corresponding control variables according to trading *** for bottom time series are then combined to generate initial forecasts for total exports and ***,forecasts for total imports and exports from the two hierarchical models,plus a single VECM model are combined to generate final *** experiments show that this proposed forecasting model approach significantly outperforms benchmark models and produces consistent forecasts for both total imports and exports or detailed items,which helps a lot for analyzing future trading structure evolution and making foreign trade policies.

关键词： Decomposed and combined models exports and imports forecasts hierarchy trade structure

A New Credit Spread to Predict Economic Activities in China

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Journal of Systems Science & Complexity 2019年第4期32卷 1140-1166页

作者： wang Lei NIE Changhong wang shouyang School of Economics and Management University of Chinese Academy of SciencesBeijing 100190China Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190China

In recent years,the relationship between bond spreads and macro economy has been studied extensively by economists in western ***,few attentions were paid on this topic in *** essay regards Chinese bond market as a complex system and constructs bond indices for China with the bottom-up *** authors use the data of 3,205 non-financial corporate bonds from February 2010 to October 2017 and construct a new spread noted as the PE SOE *** authors find that the PESOE spread has a negative impact on economic activities and has the best predictive ability at short-run forecasting horizons,owing to the institutional superiority of the stateowned enterprises in *** Treasury bond yields are found to have the best predictive ability at long-run *** spread shock and Treasury yield shock could lead to deflation and declines in economic activities,and the Treasury yield shock has a more severe and persistent impact on the economy due to the financial accelerator *** spread is proved to be a better indicator for Chinese corporate bond market and can be widely used not only in future Chinese economic studies,but also for Chinese government’s macroeconomic monitoring and warning.

关键词： Chinese bond market corporate bond spreads credit spreads financial accelerator private enterprises state-owned enterprises

Understanding Human and Machine Interaction from Decision Perspective: An Empirical Study Based on the Game of Go

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Journal of Systems Science & Complexity 2024年第2期37卷 647-667页

作者： ZHAO Ping LI Xuerong wang shouyang Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190China School of Mathematical Sciences University of Chinese Academy of SciencesBeijing 100190China

The authors aim to interpret human and AI interactions from the decision *** authors decompose the interaction analysis into the following main components in the context of interactions:Individual behavior patterns,interaction relationships,and comprehensive *** authors interpret intertemporal decisions from a physical perspective and employ cross-discipline concepts and methodologies to extract the behavior characteristics of players in the empirical case *** the individual behavior patterns,the authors find that human players prefer short-term periods to AI in *** interaction relationship analysis reveals a dynamic relationship between possible short-term co-movement and nearly counter-movement in the long *** authors apply principal component analysis to descriptive indicators and discover a regular decision *** main behavior pattern of players in the game of Go is switching between careful and daring *** differences in the decision hierarchies imply a discrepancy of patience between humans and AI.

关键词： Coherence analysis decision hierarchy machine behaviour multitaper spectral analysis

Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence

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Journal of Systems Science & Complexity 2021年第6期34卷 2219-2230页

作者： HUANG Bai SUN Yuying wang shouyang School of Statistics and Mathematics Central University of Finance&:EconomicsBeijing 100081China Academy of Mathematics and Systems Science Center for Forecasting ScienceChinese Academy of SciencesBeijing 100190China

This paper studies the estimation of the partially linear panel data models,allowing for cross-sectional dependence through a common factors *** semiparametric additive partial linear framework,including both linear and nonlinear additive components,is more flexible compared to linear models,and is preferred to a fully nonparametric regression because of the‘curse of dimensionality’.The consistency and asymptotic normality of the proposed estimators are established for the case where both cross-sectional dimension and temporal dimension go to *** theoretical findings are further supported for small samples via a Monte Carlo *** results suggest that the proposed method is robust to a wide variety of data generation processes.

关键词： Common correlated effects common factors cross-sectional dependence panel data semi-parametric estimation

Foreign Trade Survey Data:Do They Help in Forecasting Exports and Imports?

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Journal of Systems Science & Complexity 2022年第5期35卷 1839-1862页

作者： BAI Yun wang shouyang ZHANG Xun Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190China School of Economics and Management University of Chinese Academy of SciencesBeijing 100190China Center for Forecasting Science Chinese Academy of SciencesBeijing 100190China

Business survey,which starts from the microeconomic level,is a widely used short-term forecasting tool in *** this study,the authors examine whether foreign trade survey data collected by China’s Ministry of Commerce would provide reliable forecasts of China’s foreign *** research procedure is designed from three perspectives including forecast information test,turning point forecast,and out-of-sample value ***,Granger causality test detects whether survey data lead exports and ***,business cycle analysis,a non-model based method,is *** authors construct composite indexes with business survey data to forecast turning points of foreign ***,model-based numerical forecasting methods,including the Autoregressive Integrated Moving Average Model with Exogenous Variables(ARIMAX)and the artificial neural networks(ANNs)models are *** results show that survey data granger cause imports and exports,the leading composite index provides signal for changes of trade cycles,and quantitative models including survey data generate more accurate forecasts than benchmark *** is concluded that trade survey data has excellent predictive capabilities for imports and exports,which can offer some priorities for government policy-making and enterprise decision making.

关键词： ARIMAX artificial neural network composite index forecasting foreign trade Granger causality test survey data

The Role of Japanese Candlestick in DVAR Model

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Journal of Systems Science & Complexity 2015年第5期28卷 1177-1193页

作者： XIE Haibin FAN Kuikui wang shouyang Research Center for Applied Finance University of International Business and Economics School of Statistics and Management Shanghai University of Finance and Economics Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of Sciences

The decomposition-based vector autoregressive model(DVAR) provides a new framework for scrutinizing the efficiency of technical analysis in forecasting stock returns. However, its relationships with other technical indicators still remain unknown. This paper investigates the relationships of DVAR model with the Japanese Candlestick indicators using simulations, theoretical explanations and empirical studies. The main finding of this paper is that both lower and upper shadows in Japanese Candlestick Granger contribute to the DVAR model explanation power, and thus, providing useful information for improving the DVAR forecasts. This finding makes sense as it means that the information contained in the lower and upper shadows should be used when modeling the stock returns with DVAR. Empirical studies performed on China SSEC stock index demonstrate that DVAR model with upper and lower shadows as exogenous variables does have informative and valuable out-of-sample forecasts.

关键词： Chinese stock market Japanese candlestick stock market forecast technical analysis

NETWORK ANALYSIS OF TERRORIST ACTIVITIES

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Journal of Systems Science & Complexity 2014年第6期27卷 1079-1094页

作者： FU Julei FAN Ying wang Yang wang shouyang College of Information System and Management National University of Defense Technology Department of Systems Science School of Management and Center for Complexity ResearchBeijing Normal University Department of Physics Bar-Ilan UniversityRamat Gan 52900Israel Academy of Mathematics and Systems Science Chinese Academy of Sciences

This paper uses an extensive network approach to "East Turkistan" activities by building both the one-mode and the bipartite networks for these *** the one-mode network,centrality analysis and spectrum analysis are used to describe the importance of each *** this basis,two types of core vertices——The center of communities and the intermediary vertices among communities— are *** weighted extreme optimization(WEO) algorithm is also applied to detect communities in the one-mode *** the "terrorist-terrorist organization" bipartite network,the authors adopt centrality analysis as well as clustering analysis based on the original bipartite network in order to calculate the importance of each vertex,and apply the edge clustering coefficient algorithm to detect the *** comparative and empirical analysis indicates that this research has been proved to be an effective way to identify the core members,key organizations,and communities in the network of "East Turkistan" terrorist *** results can provide a scientific basis for the analysis of "East Turkistan" terrorist activity,and thus provide decision support for the real work of "anti-terrorism".

关键词： Anti-terrorism complex networks terrorist activity network vertex centrality.

A Demand Forecasting Method Based on Stochastic Frontier Analysis and Model Average: An Application in Air Travel Demand Forecasting

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Journal of Systems Science & Complexity 2019年第2期32卷 615-633页

作者： ZHANG Xinyu ZHENG Yafei wang shouyang Academy of Mathematics and Systems Science Chinese Academy of Sciences Centerfor Forecasting Science Chinese Academy of Sciences Postdoctoral Working Station Shenwan Hongyuan Securities Co. Ltd. Center for Forecasting Science Chinese Academy of Sciences

Demand forecasting is often difficult due to the unobservability of the applicable historical demand series. In this study, the authors propose a demand forecasting method based on stochastic frontier analysis(SFA) models and a model average technique. First, considering model uncertainty,a set of alternative SFA models with various combinations of explanatory variables and distribution assumptions are constructed to estimate demands. Second, an average estimate from the estimated demand values is obtained using a model average technique. Finally, future demand forecasts are achieved, with the average estimates used as historical observations. An empirical application of air travel demand forecasting is implemented. The results of a forecasting performance comparison show that in addition to its ability to estimate demand, the proposed method outperforms other common methods in terms of forecasting passenger traffic.

关键词： Air travel demand demand forecasting model average model uncertainty stochastic frontier analysis