RCML: A Novel Algorithm for Regressing Price Movement during Commodity Futures Stress Testing Based on Machine Learning
2.1. Historical Extreme Events
2.2. Multi-View Information
3.1. Approach Overview
3.2. Random Walk Generator
|Algorithm 1: Training process of RCML model|
3.3. Neural Networks Regressor
4.2. Model Setup
4.3. Back Testing
4.4. Hypothesis Testing
Data Availability Statement
Conflicts of Interest
Data taken from the open source: www.100ppi.com (accessed on 18 October 2022).
Data taken from the wind public application programming interface (API): www.wind.com.cn (accessed on 1 September 2022).
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|Commodity||Inferring Results Size||Observed Sample Size||p-Value||Statistic D||Decision|
|Date||22 November 2016|
|Commodity||Price Movement||Product||Price Movement||Commodity||Price Movement|
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Liu, C.; Pan, W.; Zhou, H. RCML: A Novel Algorithm for Regressing Price Movement during Commodity Futures Stress Testing Based on Machine Learning. J. Risk Financial Manag. 2023, 16, 285. https://doi.org/10.3390/jrfm16060285
Liu C, Pan W, Zhou H. RCML: A Novel Algorithm for Regressing Price Movement during Commodity Futures Stress Testing Based on Machine Learning. Journal of Risk and Financial Management. 2023; 16(6):285. https://doi.org/10.3390/jrfm16060285Chicago/Turabian Style
Liu, Caifeng, Wenfeng Pan, and Hongcheng Zhou. 2023. "RCML: A Novel Algorithm for Regressing Price Movement during Commodity Futures Stress Testing Based on Machine Learning" Journal of Risk and Financial Management 16, no. 6: 285. https://doi.org/10.3390/jrfm16060285