Journal of Futures Markets最新文献_第2页

Forecasting Chinese Stock Market Volatility With Intraday and Overnight Volatility Components of INE Oil Futures 利用INE原油期货的日内和隔夜波动分量预测中国股市波动

IF 2.3 4区经济学

Journal of Futures Markets Pub Date : 2025-07-20 DOI: 10.1002/fut.70008

Qihao Chen, Zhuo Huang

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引用次数: 0

Stock–Commodity Correlations, Optimal Hedging, and Climate Risks 股票-商品相关性、最优对冲与气候风险

IF 2.3 4区经济学

Journal of Futures Markets Pub Date : 2025-07-20 DOI: 10.1002/fut.70014

Sercan Demiralay, Hatice Gaye Gencer, Alexander Brauneis

引用次数: 0

Understanding the Factors Driving the Demand of Structured Investment Products 理解驱动结构性投资产品需求的因素

IF 2.3 4区经济学

Journal of Futures Markets Pub Date : 2025-07-20 DOI: 10.1002/fut.22612

Massimo Guidolin, Giacomo Leonetti, Manuela Pedio

引用次数: 0

Forecasting Crude Oil Price Using Secondary Decomposition-Reconstruction-Ensemble Model Based on Variational Mode Decomposition 基于变分模态分解的二次分解-重建-集成模型预测原油价格

IF 2.3 4区经济学

Journal of Futures Markets Pub Date : 2025-07-13 DOI: 10.1002/fut.22617

Lili Li, Kailu Shan, Wenyuan Geng

{"title":"Forecasting Crude Oil Price Using Secondary Decomposition-Reconstruction-Ensemble Model Based on Variational Mode Decomposition","authors":"Lili Li, Kailu Shan, Wenyuan Geng","doi":"10.1002/fut.22617","DOIUrl":"https://doi.org/10.1002/fut.22617","url":null,"abstract":"<div>\u0000 \u0000 <p>The fluctuating crude oil price affects producers, consumers, investors, policy-making, and economic stability. This paper forecasts the spot price of West Texas Intermediate (WTI) crude oil using weekly data from 1991 to 2024, considering factors from the US crude oil market, financial markets, and economic policies. We present a new secondary decomposition-reconstruction-ensemble model based on variational mode decomposition (VMD). Triangulation topology aggregation optimizer (TTAO) algorithm is first utilized to optimize the VMD and BiLSTM for sequence decomposition and prediction. The proposed model reconstructs sequences based on the permutation entropy (PE) of subsequences after primary decomposition and conducts a secondary decomposition on the high-frequency reconstructed sequence. The model predicts subsequences and reconstructed sequences using TTAO-BiLSTM and integrates results via LSTM. Prediction errors decrease sequentially across univariate BiLSTM, multivariate BiLSTM, single decomposition-ensemble, single decomposition-reconstruction-ensemble, and the proposed secondary decomposition-reconstruction-ensemble models. TTAO outperforms adaptive moment estimation (Adam) in optimizing BiLSTM within all models.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1601-1615"},"PeriodicalIF":2.3,"publicationDate":"2025-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051237","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Informational Content of Warrant Trading Prior to Interim Monthly-Revenue Report: Evidence From the Taiwan Warrant Market 中期月报前权证交易的信息内容：来自台湾权证市场的证据

IF 2.3 4区经济学

Journal of Futures Markets Pub Date : 2025-07-13 DOI: 10.1002/fut.70009

Che-Chia Chang, Chao-Chun Chen, Pin-Yu Huang

{"title":"Informational Content of Warrant Trading Prior to Interim Monthly-Revenue Report: Evidence From the Taiwan Warrant Market","authors":"Che-Chia Chang, Chao-Chun Chen, Pin-Yu Huang","doi":"10.1002/fut.70009","DOIUrl":"https://doi.org/10.1002/fut.70009","url":null,"abstract":"<div>\u0000 \u0000 <p>Taiwan-listed companies are required to report unaudited net operating revenues monthly. This study examines the information content of trading in the short-sale-prohibited domestic warrant market before the interim accounting disclosures by adopting an implied volatility skew (IV skew) as a proxy for informed trading. We find a significantly negative relationship between the pre-announcement abnormal IV skew of warrants and cumulative abnormal stock return around monthly-revenue disclosures. The results of the placebo test further suggest that the return predictability of the IV skew is not prevalent in normal periods, but only the pre-announcement IV skew possesses predictive power toward future stock returns. Furthermore, the predictability of warrants' IV skew on monthly-revenue announcement return is stronger when the underlying stocks are priced high and weaker when some information about unpublished revenues has been reflected by pre-announcement stock returns. These findings suggest that informed trading is the driving force behind warrant market activities before monthly-revenue reporting.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 10","pages":"1616-1635"},"PeriodicalIF":2.3,"publicationDate":"2025-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145051236","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Commodity Option Return Predictability 商品期权收益可预测性

IF 2.3 4区经济学

Journal of Futures Markets Pub Date : 2025-07-09 DOI: 10.1002/fut.22614

Constant Aka, Marie-Hélène Gagnon, Gabriel J. Power

引用次数: 0

Bitcoin Price Direction Forecasting and Market Variables 比特币价格方向预测和市场变量

IF 2.3 4区经济学

Journal of Futures Markets Pub Date : 2025-07-09 DOI: 10.1002/fut.70010

Taegyum Kim, Hyeontae Jo, Woohyuk Choi, Bong-Gyu Jang

引用次数: 0

Journal of Futures Markets: Volume 45, Number 8, August 2025 期货市场杂志：第45卷，第8期，2025年8月