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- All Subjects: time series
- Creators: Amazeen, Polemnia
Description
With improvements in technology, intensive longitudinal studies that permit the investigation of daily and weekly cycles in behavior have increased exponentially over the past few decades. Traditionally, when data have been collected on two variables over time, multivariate time series approaches that remove trends, cycles, and serial dependency have been used. These analyses permit the study of the relationship between random shocks (perturbations) in the presumed causal series and changes in the outcome series, but do not permit the study of the relationships between cycles. Liu and West (2016) proposed a multilevel approach that permitted the study of potential between subject relationships between features of the cycles in two series (e.g., amplitude). However, I show that the application of the Liu and West approach is restricted to a small set of features and types of relationships between the series. Several authors (e.g., Boker & Graham, 1998) proposed a connected mass-spring model that appears to permit modeling of more general cyclic relationships. I showed that the undamped connected mass-spring model is also limited and may be unidentified. To test the severity of the restrictions of the motion trajectories producible by the undamped connected mass-spring model I mathematically derived their connection to the force equations of the undamped connected mass-spring system. The mathematical solution describes the domain of the trajectory pairs that are producible by the undamped connected mass-spring model. The set of producible trajectory pairs is highly restricted, and this restriction sets major limitations on the application of the connected mass-spring model to psychological data. I used a simulation to demonstrate that even if a pair of psychological time-varying variables behaved exactly like two masses in an undamped connected mass-spring system, the connected mass-spring model would not yield adequate parameter estimates. My simulation probed the performance of the connected mass-spring model as a function of several aspects of data quality including number of subjects, series length, sampling rate relative to the cycle, and measurement error in the data. The findings can be extended to damped and nonlinear connected mass-spring systems.
ContributorsMartynova, Elena (M.A.) (Author) / West, Stephen G. (Thesis advisor) / Amazeen, Polemnia (Committee member) / Tein, Jenn-Yun (Committee member) / Arizona State University (Publisher)
Created2019
Description中国商品期货市场经历30年发展，已初备协调资源分配、对冲经营风险的功能。但受产业自身和期货市场发展的制约，各期货品种市场有效性参差不齐。随着我国经济从增量阶段过渡到存量阶段，期货作为企业的价格管理和风险控制工具的重要性日益凸显，因此研究我国商品期货市场有效性具有非常好的现实意义。
本文开创性的从期货的基本功能——资源配置的角度出发，提出有效市场是指其期货价格能够对本行业社会资源起到合理的调配作用的市场。在内容安排上，本文首先总结了现有国际成熟期货品种的特点并找出能够反映期货对资源配置能力的四个指标假说，分别为期现回归性、利润波动性、库存波动性以及现金流变化，然后通过数学模型证明指标数据和品种成熟度的关联，最后应用该套指标对我国商品市场有效性进行检验。数学方法上，本文先采用Bai-Perron内生多重结构突变模型对时间序列进行突变点检验，然后对断点时间序列分别进行多元回归，并在剔除季节性和周期性后，通过平稳性检验、ARCH效应检验结果来确定相应的Garch模型，并用Garch模型来描述时间序列的波动性。
通过数学验证，我们认为期现回归性、利润波动性、库存波动性以及现金流变化这四个指标可以作为反映期货成熟度的检验指标，用该套方法对国内部分活跃品种检验后发现大连豆粕期货已经具备成熟品种的特征，本文认为豆粕期货市场是有效的；PTA、玉米淀粉期货的四个检验指标在近年来表现出时间序列优化的特点，但因时间较短尚不稳定，可以认为是接近成熟的品种；而螺纹钢和铝期货在多数指标上表现不佳，表明他们对社会资源配置能力较差，因此本文认为螺纹钢和铝期货市场是活跃但非有效的。通过进一步分析，本文认为品种的期现回归性差是制约其资源配置能力发挥的关键因素，而交易标的不明确、
仓单制作难度大、产业参与度低以及期货设计中的其他限制因素又是导致期现回归性差的重要原因。
本文开创性的从期货的基本功能——资源配置的角度出发，提出有效市场是指其期货价格能够对本行业社会资源起到合理的调配作用的市场。在内容安排上，本文首先总结了现有国际成熟期货品种的特点并找出能够反映期货对资源配置能力的四个指标假说，分别为期现回归性、利润波动性、库存波动性以及现金流变化，然后通过数学模型证明指标数据和品种成熟度的关联，最后应用该套指标对我国商品市场有效性进行检验。数学方法上，本文先采用Bai-Perron内生多重结构突变模型对时间序列进行突变点检验，然后对断点时间序列分别进行多元回归，并在剔除季节性和周期性后，通过平稳性检验、ARCH效应检验结果来确定相应的Garch模型，并用Garch模型来描述时间序列的波动性。
通过数学验证，我们认为期现回归性、利润波动性、库存波动性以及现金流变化这四个指标可以作为反映期货成熟度的检验指标，用该套方法对国内部分活跃品种检验后发现大连豆粕期货已经具备成熟品种的特征，本文认为豆粕期货市场是有效的；PTA、玉米淀粉期货的四个检验指标在近年来表现出时间序列优化的特点，但因时间较短尚不稳定，可以认为是接近成熟的品种；而螺纹钢和铝期货在多数指标上表现不佳，表明他们对社会资源配置能力较差，因此本文认为螺纹钢和铝期货市场是活跃但非有效的。通过进一步分析，本文认为品种的期现回归性差是制约其资源配置能力发挥的关键因素，而交易标的不明确、
仓单制作难度大、产业参与度低以及期货设计中的其他限制因素又是导致期现回归性差的重要原因。
ContributorsWang, Ping (Author) / Gu, Bin (Thesis advisor) / Li, Feng (Thesis advisor) / Yan, Hong (Committee member) / Arizona State University (Publisher)
Created2019