Deep Modeling Complex Couplings within （深层复杂耦合建模）.pdf

Deep Modeling Complex Couplings within Financial Markets Wei Cao Liang Hu Longbing Cao Advanced Analytics Institute University of Technology, Sydney Advanced Analytics Institute University of Technology, Sydney and Shanghai Jiaotong University University of Technology, Sydney Wei.Cao@.au lianghu@ LongBing.Cao@.au Abstract verified by the 2008 financial crisis (Longstaff 2010). Figure 1 illustrates complex couplings across markets. In The global financial crisis occurred in 2008 and its con- addition to other factors, the movement of US stock mar- tagion to other regions, as well as the long-lasting im- pact on different markets, show that it is increasingly kets is affected by three major types of cross-market inter- important to understand the complicated coupling rela- actions: the intra-market coupling, referring to the interac- tionships across financial markets. This is indeed very tions between homogeneous markets (e.g. UK stock market difficult as complex hidden coupling relationships exist and Chinese stock market); the inter-market coupling, indi- between different financial markets in various countries, cating the interactions between heterogeneous markets (e.g. which are very hard to model. The couplings involve in- US currency market and stock market); and the temporary teractions between homogeneous markets from various