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首页> 外文期刊>Journal of Finance and Accounting >Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market
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Predictability of Financial Crisis via Pair Coupling of Commodity Market and Stock Market

机译：通过商品市场和股票市场的配对耦合对金融危机的可预测性

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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.
机译：许多研究人员已经研究了金融危机中股票市场和商品市场之间复杂的相互作用，但是关于两个市场的配对耦合对于预测金融危机的作用如何却鲜为人知，而配对耦合是市场交互的隐藏本质。本文研究了三种耦合，即时间耦合，频率耦合和空间耦合，它们是配对耦合的不同方面。此外，提出了一个两层模型，即CHMM-ANN，以研究耦合，并基于耦合评估评估能力。底层采用耦合隐马尔可夫模型（CHMM）捕获隐藏的耦合，然后将耦合作为顶层经典古典神经网络（ANN）的输入，以预测金融危机。真实财务数据的实验结果证实了货币对耦合在预测金融危机中的优势。

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