Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market

Wei Cao; Tingting He

doi:doi:10.11648/j.jfa.20190701.12

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Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market

Wei Cao, Tingting He

Published in Journal of Finance and Accounting (Volume 7, Issue 1)

Received: 20 December 2018 Accepted: 14 January 2019 Published: 31 January 2019

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Abstract

The complex interactions between stock market and commodity market in financial crisis has been investigated by many researchers, but there is less known about how useful the pair coupling of the two markets for predicting financial crisis, where the pair coupling is the hidden essence of market interactions. This article investigates three kinds of couplings, namely time coupling, frequency coupling and space coupling, which are the different aspects of the pair coupling. In addition, a two-layer model, namely CHMM-ANN, is proposed to investigate the couplings and evaluate the predicting abilities based on the couplings. Coupled Hidden Markov Model (CHMM) is adopted at the bottom level to capture the hidden couplings, and then the couplings are put as input to classical Artificial Neural Network (ANN) at the top level to predict financial crisis. The experiment results on real financial data confirm the advantages of the pair coupling in predicting financial crisis.

Published in	Journal of Finance and Accounting (Volume 7, Issue 1)
DOI	10.11648/j.jfa.20190701.12
Page(s)	9-16
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2019. Published by Science Publishing Group

Keywords

Financial Crisis Predictability, Pair Coupling, Stock Market, Commodity Market

References

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APA Style

Wei Cao, Tingting He. (2019). Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market. Journal of Finance and Accounting, 7(1), 9-16. https://doi.org/10.11648/j.jfa.20190701.12

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ACS Style

Wei Cao; Tingting He. Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market. J. Finance Account. 2019, 7(1), 9-16. doi: 10.11648/j.jfa.20190701.12

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AMA Style

Wei Cao, Tingting He. Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market. J Finance Account. 2019;7(1):9-16. doi: 10.11648/j.jfa.20190701.12

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@article{10.11648/j.jfa.20190701.12,
  author = {Wei Cao and Tingting He},
  title = {Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market},
  journal = {Journal of Finance and Accounting},
  volume = {7},
  number = {1},
  pages = {9-16},
  doi = {10.11648/j.jfa.20190701.12},
  url = {https://doi.org/10.11648/j.jfa.20190701.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20190701.12},
  abstract = {The complex interactions between stock market and commodity market in financial crisis has been investigated by many researchers, but there is less known about how useful the pair coupling of the two markets for predicting financial crisis, where the pair coupling is the hidden essence of market interactions. This article investigates three kinds of couplings, namely time coupling, frequency coupling and space coupling, which are the different aspects of the pair coupling. In addition, a two-layer model, namely CHMM-ANN, is proposed to investigate the couplings and evaluate the predicting abilities based on the couplings. Coupled Hidden Markov Model (CHMM) is adopted at the bottom level to capture the hidden couplings, and then the couplings are put as input to classical Artificial Neural Network (ANN) at the top level to predict financial crisis. The experiment results on real financial data confirm the advantages of the pair coupling in predicting financial crisis.},
 year = {2019}
}

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TY  - JOUR
T1  - Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market
AU  - Wei Cao
AU  - Tingting He
Y1  - 2019/01/31
PY  - 2019
N1  - https://doi.org/10.11648/j.jfa.20190701.12
DO  - 10.11648/j.jfa.20190701.12
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 9
EP  - 16
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20190701.12
AB  - The complex interactions between stock market and commodity market in financial crisis has been investigated by many researchers, but there is less known about how useful the pair coupling of the two markets for predicting financial crisis, where the pair coupling is the hidden essence of market interactions. This article investigates three kinds of couplings, namely time coupling, frequency coupling and space coupling, which are the different aspects of the pair coupling. In addition, a two-layer model, namely CHMM-ANN, is proposed to investigate the couplings and evaluate the predicting abilities based on the couplings. Coupled Hidden Markov Model (CHMM) is adopted at the bottom level to capture the hidden couplings, and then the couplings are put as input to classical Artificial Neural Network (ANN) at the top level to predict financial crisis. The experiment results on real financial data confirm the advantages of the pair coupling in predicting financial crisis.
VL  - 7
IS  - 1
ER  -

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Author Information

Wei Cao

School of Economics, Hefei University of Technology, Hefei, P. R. China
Tingting He

School of Economics, Hefei University of Technology, Hefei, P. R. China

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APA Style

Wei Cao, Tingting He. (2019). Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market. Journal of Finance and Accounting, 7(1), 9-16. https://doi.org/10.11648/j.jfa.20190701.12

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ACS Style

Wei Cao; Tingting He. Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market. J. Finance Account. 2019, 7(1), 9-16. doi: 10.11648/j.jfa.20190701.12

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AMA Style

Wei Cao, Tingting He. Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market. J Finance Account. 2019;7(1):9-16. doi: 10.11648/j.jfa.20190701.12

Copy | Download

@article{10.11648/j.jfa.20190701.12,
  author = {Wei Cao and Tingting He},
  title = {Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market},
  journal = {Journal of Finance and Accounting},
  volume = {7},
  number = {1},
  pages = {9-16},
  doi = {10.11648/j.jfa.20190701.12},
  url = {https://doi.org/10.11648/j.jfa.20190701.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20190701.12},
  abstract = {The complex interactions between stock market and commodity market in financial crisis has been investigated by many researchers, but there is less known about how useful the pair coupling of the two markets for predicting financial crisis, where the pair coupling is the hidden essence of market interactions. This article investigates three kinds of couplings, namely time coupling, frequency coupling and space coupling, which are the different aspects of the pair coupling. In addition, a two-layer model, namely CHMM-ANN, is proposed to investigate the couplings and evaluate the predicting abilities based on the couplings. Coupled Hidden Markov Model (CHMM) is adopted at the bottom level to capture the hidden couplings, and then the couplings are put as input to classical Artificial Neural Network (ANN) at the top level to predict financial crisis. The experiment results on real financial data confirm the advantages of the pair coupling in predicting financial crisis.},
 year = {2019}
}

Copy | Download

TY  - JOUR
T1  - Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market
AU  - Wei Cao
AU  - Tingting He
Y1  - 2019/01/31
PY  - 2019
N1  - https://doi.org/10.11648/j.jfa.20190701.12
DO  - 10.11648/j.jfa.20190701.12
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 9
EP  - 16
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20190701.12
AB  - The complex interactions between stock market and commodity market in financial crisis has been investigated by many researchers, but there is less known about how useful the pair coupling of the two markets for predicting financial crisis, where the pair coupling is the hidden essence of market interactions. This article investigates three kinds of couplings, namely time coupling, frequency coupling and space coupling, which are the different aspects of the pair coupling. In addition, a two-layer model, namely CHMM-ANN, is proposed to investigate the couplings and evaluate the predicting abilities based on the couplings. Coupled Hidden Markov Model (CHMM) is adopted at the bottom level to capture the hidden couplings, and then the couplings are put as input to classical Artificial Neural Network (ANN) at the top level to predict financial crisis. The experiment results on real financial data confirm the advantages of the pair coupling in predicting financial crisis.
VL  - 7
IS  - 1
ER  -

Copy | Download