The inefficiency of information transmission between stock index futures and the underlying index: Measurements and characteristics-Reference-Cited by-同舟云学术

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The inefficiency of information transmission between stock index futures and the underlying index: Measurements and characteristics

Published:2022-09 Issue: Volume:201 Page:117085
ISSN:0957-4174
Container-title:Expert Systems with Applications
language:en
Short-container-title:Expert Systems with Applications

Author:

Mi Xianhua^ORCID,Xiao Ru^ORCID,Ma Chaoqun^ORCID

Funder

National Natural Science Foundation of China

Major Science and Technology Projects in Anhui Province

Publisher

Elsevier BV

Subject

Artificial Intelligence,Computer Science Applications,General Engineering

Reference59 articles.

1. The relationship between return and market value of common stocks;Banz;Journal of Financial Economics,1981

2. Using dynamic time warping to find patterns in time series;Berndt,1994

3. Residual momentum;Blitz;Journal of Empirical Finance,2011

4. Speculation and the informational efficiency of commodity futures markets;Bohl;Journal of Commodity Markets,2020

5. Price discovery and investor structure in stock index futures;Bohl;Journal of Futures Markets,2011

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A research on similarity measurement for time series and its application on stock price prediction;Proceedings of the 2023 3rd International Conference on Big Data, Artificial Intelligence and Risk Management;2023-11-24

2. Experimental analysis of similarity measurements for multivariate time series and its application to the stock market;Applied Intelligence;2023-08-08

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