Price Discovery in Index Futures Market - Based on Common Factor Models

2012 ◽  
Author(s):  
Zhou Zhou ◽  
Zhuo Wei ◽  
Shouyang Wang
Keyword(s):  
Price Discovery ◽  
Common Factor ◽  
Futures Market ◽  
Factor Models ◽  
Index Futures ◽  
Common Factor Models

Price discovery and common factor models

2002 ◽  
Vol 5 (3) ◽  
pp. 309-321 ◽  
Author(s):  
Richard T. Baillie ◽  
G. Geoffrey Booth ◽  
Yiuman Tse ◽  
Tatyana Zabotina
Keyword(s):  
Price Discovery ◽  
Common Factor ◽  
Factor Models ◽  
Common Factor Models

On the Mining of Cointegrated Econometric Models

2010 ◽  
pp. 122-135
Author(s):  
J.L. van Velsen ◽  
R. Choenni
Keyword(s):  
Common Factor ◽  
Special Kind ◽  
Information Criterion ◽  
Factor Models ◽  
Econometric Models ◽  
Heuristic Model ◽  
Future Developments ◽  
Model Generator ◽  
Common Factor Models

The authors describe a process of extracting a cointegrated model from a database. An important part of the process is a model generator that automatically searches for cointegrated models and orders them according to an information criterion. They build and test a non-heuristic model generator that mines for common factor models, a special kind of cointegrated models. An outlook on potential future developments is given.

Alternative common factor models for multivariate biometric analyses

1990 ◽  
Vol 20 (5) ◽  
pp. 569-608 ◽  
Author(s):  
J. J. McArdle ◽  
H. H. Goldsmith
Keyword(s):  
Common Factor ◽  
Factor Models ◽  
Common Factor Models
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