A New Approach to Gold Price Analysis Based on Variational Mode Decomposition and Independent Component Analysis

Jianwei, E; Shenggang, L.; Jimin, Y.

doi:10.5506/aphyspolb.48.2093

Cited by 7 publications

(2 citation statements)

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“…The formulation ARIMA (p, d, q) represents the model. Commonly, "p" is used to designate the order of auto-regression, while "d" represents the degree of trend difference [6]. Similarly, "q" is commonly employed to represent the order of moving average [7].…”

Section: Arima Model Settingmentioning

confidence: 99%

The Impact of Soaring Crude Oil Prices on the Air Transportation Industry Index

Wang

2023

HBEM

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On February 24, 2022, Russian President Vladimir Putin cited "demilitarisation and de-Nazification" as a justification for military intervention, leading to the deployment of Russian forces to invade Ukraine. In addition, it is important to note that Russia and Ukraine, as prominent global oil-exporting regions, annually contribute approximately 200 million tonnes of crude oil to the global market. The conflict between these two countries has significantly influence the global crude oil prices, thereby exerting a significant influence on businesses that rely heavily on energy resources. As one of the industries with the highest energy demands, the aviation industry is also substantially affected. Examining the relationship between energy costs and the airline industry, this paper will examine fundamental concepts such as the impact of fuel prices on the aviation industry, role of fuel cost in operational costs, and the effects of fuel cost volatility on airline stock. In order to determine the effects of fuel cost fluctuations the global air transport industry, the theoretical framework for this essay including comprised of pertinent theories, Demand and Supply theory, the Perfect Competition Model, and the Market Efficiency Hypothesis. This paper argues that the rise in crude oil prices caused by the conflict between Ukraine and Russia has a considerable negative impact on the stock price of the air transportation industry.

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Section: Arima Model Settingmentioning

confidence: 99%

The Impact of Soaring Crude Oil Prices on the Air Transportation Industry Index

Wang

2023

HBEM

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“…The estimates of the cross-equation covariance matrix are based upon parameter estimates of the unweighted system. 15 The SUR methodology supplies better estimators than WLS in the system of equation computing of parameters, free of the autocorrelation and heteroskedasticity in the residuals of the model, which estimates the betas more reliable.…”

Section: Econometric Contrast Of the Arbitrage Pricing Theory (Apt)mentioning

confidence: 99%

Comparison of Statistical Underlying Systematic Risk Factors and Betas Driving Returns on Equities

Cortés

Porras

Monte

2021

REMEF

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The objective of this paper is to compare four dimension reduction techniques used for extracting the underlying systematic risk factors driving returns on equities of the Mexican Market. The methodology used compares the results of estimation produced by Principal Component Analysis (PCA), Factor Analysis (FA), Independent Component Analysis (ICA), and Neural Networks Principal Component Analysis (NNPCA) under three different perspectives. The results showed that in general: PCA, FA, and ICA produced similar systematic risk factors and betas; NNPCA and ICA produced the greatest number of fully accepted models in the econometric contrast; and, the interpretation of systematic risk factors across the four techniques was not constant. Additional research testing alternative extraction techniques, econometric contrast, and interpretation methodologies are recommended, considering the limitations derived from the scope of this work. The originality and main contribution of this paper lie in the comparison of these four techniques in both the financial and Mexican contexts. The main conclusion is that depending on the purpose of the analysis, one technique will be more suitable than another.

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Energy price prediction based on independent component analysis and gated recurrent unit neural network

Jianwei

et al. 2019

Energy

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A New Approach to Gold Price Analysis Based on Variational Mode Decomposition and Independent Component Analysis

Cited by 7 publications

References 0 publications

The Impact of Soaring Crude Oil Prices on the Air Transportation Industry Index

The Impact of Soaring Crude Oil Prices on the Air Transportation Industry Index

Comparison of Statistical Underlying Systematic Risk Factors and Betas Driving Returns on Equities

Energy price prediction based on independent component analysis and gated recurrent unit neural network

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