Investors’ attention and network spillover for commodity market forecasting

IF 6.2 2区经济学 Q1 ECONOMICS Socio-economic Planning Sciences Pub Date : 2024-07-22 DOI:10.1016/j.seps.2024.102023

Roy Cerqueti , Valerio Ficcadenti , Raffaele Mattera

引用次数: 0

Abstract

This paper explores the role of network spillovers in commodity market forecasting and proposes a novel factor-augmented dynamic network model. We focus on a novel network definition based on investors’ attention to commodities, positing that commodities exhibit spillovers if they share a similar level of interest. To this aim, we employ Google Trends search data as an instrumental measure for attention. The results reveal that including attention-driven spillovers significantly enhances the forecasting accuracy of commodity returns.

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商品市场预测中的投资者注意力和网络溢出效应

本文探讨了网络溢出效应在商品市场预测中的作用，并提出了一个新颖的因子增强动态网络模型。我们将重点放在基于投资者对商品关注度的新型网络定义上，认为如果商品具有相似的关注度，就会表现出溢出效应。为此，我们采用谷歌趋势搜索数据作为注意力的工具性衡量指标。结果表明，将注意力驱动的溢出效应包括在内，可显著提高商品回报预测的准确性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Socio-economic Planning Sciences OPERATIONS RESEARCH & MANAGEMENT SCIENCE-

CiteScore

9.40

自引率

13.10%

发文量

294

审稿时长

58 days

期刊介绍： Studies directed toward the more effective utilization of existing resources, e.g. mathematical programming models of health care delivery systems with relevance to more effective program design; systems analysis of fire outbreaks and its relevance to the location of fire stations; statistical analysis of the efficiency of a developing country economy or industry. Studies relating to the interaction of various segments of society and technology, e.g. the effects of government health policies on the utilization and design of hospital facilities; the relationship between housing density and the demands on public transportation or other service facilities: patterns and implications of urban development and air or water pollution. Studies devoted to the anticipations of and response to future needs for social, health and other human services, e.g. the relationship between industrial growth and the development of educational resources in affected areas; investigation of future demands for material and child health resources in a developing country; design of effective recycling in an urban setting.