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Analysing and forec...
Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning
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- Zhou, Yang (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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- Xie, Chi (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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- Wang, Gang-Jin (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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- Zhu, You (författare)
- Hunan Univ, Peoples R China; Hunan Univ, Peoples R China
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- Uddin, Gazi Salah (författare)
- Linköpings universitet,Nationalekonomi,Filosofiska fakulteten,Univ Cambridge, England
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(creator_code:org_t)
- ELSEVIER, 2023
- 2023
- Engelska.
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Ingår i: Research In International Business and Finance. - : ELSEVIER. - 0275-5319 .- 1878-3384. ; 64
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- We study the co-movement between innovative financial assets (i.e., FinTech-related stocks, green bonds and cryptocurrencies) and traditional assets. We construct a co-movement mode transmission network and discuss the network topology during the pre-COVID-19 and COVID-19 periods. We extract network topology information to predict the co-movement mode by machine learning algorithms. We further propose dynamic trading strategies based on the co-movement mode prediction. The empirical results show that (i) the evolution of co-movement is dominated by some key modes, and the mode transmission relies on intermediate modes and shows certain periodicity; (ii) the co-movement relationships are influenced by the ongoing COVID-19 outbreak; and (iii) the novel approach, which combines complex network and machine learning, is superior in co-movement mode prediction and can effectively bring diversification benefits. Our work provides valuable insights for market participants.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- Co-movement; Innovative financial assets; Complex network; Machine learning; Prediction
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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