{"id":"https://openalex.org/W3167415510","doi":"https://doi.org/10.1016/j.resourpol.2021.102162","title":"Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning","display_name":"Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning","publication_year":2021,"publication_date":"2021-06-15","ids":{"openalex":"https://openalex.org/W3167415510","doi":"https://doi.org/10.1016/j.resourpol.2021.102162","mag":"3167415510"},"language":"en","primary_location":{"id":"doi:10.1016/j.resourpol.2021.102162","doi":"https://doi.org/10.1016/j.resourpol.2021.102162","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.resourpol.2021.102162","pdf_url":null,"source":{"id":"https://openalex.org/S194185345","display_name":"Resources Policy","issn_l":"0301-4207","issn":["0301-4207","1873-7641"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resources Policy","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.3791138","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5090354173","display_name":"James Ming Chen","orcid":"https://orcid.org/0000-0001-9824-174X","observed_orcids":["https://orcid.org/0000-0001-9824-174X"]},"institutions":[{"id":"https://openalex.org/I87216513","display_name":"Michigan State University","ror":"https://ror.org/05hs6h993","country_code":"US","type":"education","lineage":["https://openalex.org/I87216513"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"James Ming Chen","raw_affiliation_strings":["Michigan State University, USA"],"raw_orcid":"https://orcid.org/0000-0001-9824-174X","affiliations":[{"raw_affiliation_string":"Michigan State University, USA","institution_ids":["https://openalex.org/I87216513"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008279816","display_name":"Mobeen Ur Rehman","orcid":"https://orcid.org/0000-0002-8889-9051","observed_orcids":["https://orcid.org/0000-0002-8889-9051"]},"institutions":[{"id":"https://openalex.org/I107640659","display_name":"South Ural State University","ror":"https://ror.org/03sfk2504","country_code":"RU","type":"education","lineage":["https://openalex.org/I107640659"]},{"id":"https://openalex.org/I181727666","display_name":"University of Economics Ho Chi Minh City","ror":"https://ror.org/010yce376","country_code":"VN","type":"education","lineage":["https://openalex.org/I181727666"]},{"id":"https://openalex.org/I4405277912","display_name":"Vi\u1ec7n Nghi\u00ean c\u1ee9u kinh doanh","ror":"https://ror.org/049y2qx28","country_code":"VN","type":"facility","lineage":["https://openalex.org/I4405277912"]}],"countries":["RU","VN"],"is_corresponding":true,"raw_author_name":"Mobeen Ur Rehman","raw_affiliation_strings":["Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam","South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam","institution_ids":["https://openalex.org/I181727666","https://openalex.org/I4405277912"]},{"raw_affiliation_string":"South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation","institution_ids":["https://openalex.org/I107640659"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5001100407","display_name":"Xuan Vinh Vo","orcid":"https://orcid.org/0000-0002-3868-8176","observed_orcids":["https://orcid.org/0000-0002-3868-8176"]},"institutions":[{"id":"https://openalex.org/I181727666","display_name":"University of Economics Ho Chi Minh City","ror":"https://ror.org/010yce376","country_code":"VN","type":"education","lineage":["https://openalex.org/I181727666"]}],"countries":["VN"],"is_corresponding":false,"raw_author_name":"Xuan Vinh Vo","raw_affiliation_strings":["Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Viet Nam"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Viet Nam","institution_ids":["https://openalex.org/I181727666"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5008279816"],"corresponding_institution_ids":["https://openalex.org/I107640659","https://openalex.org/I181727666","https://openalex.org/I4405277912"],"apc_list":{"value":1870,"currency":"USD","value_usd":1870},"apc_paid":null,"fwci":2.4799,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.90377306,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":98},"biblio":{"volume":"73","issue":null,"first_page":"102162","last_page":"102162"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5083000063896179,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5083000063896179,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.4779999852180481,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.00419999985024333,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/commodity-markets","display_name":"commodity markets","score":0.9950000047683716},{"id":"https://openalex.org/keywords/market-clustering","display_name":"market clustering","score":0.7099999785423279},{"id":"https://openalex.org/keywords/log-returns","display_name":"log returns","score":0.7689999938011169},{"id":"https://openalex.org/keywords/conditional-volatility","display_name":"conditional variance","score":0.9950000047683716},{"id":"https://openalex.org/keywords/precious-metals","display_name":"precious metals","score":0.7519999742507935},{"id":"https://openalex.org/keywords/base-metals","display_name":"base metals","score":0.9980000257492065},{"id":"https://openalex.org/keywords/energy-commodities","display_name":"energy commodities","score":0.9980000257492065},{"id":"https://openalex.org/keywords/agricultural-products","display_name":"agricultural commodities","score":1.0},{"id":"https://openalex.org/keywords/manifold-learning","display_name":"manifold learning","score":0.7369999885559082},{"id":"https://openalex.org/keywords/dimensionality-reduction","display_name":"dimensionality reduction","score":0.9810000061988831},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.7310000061988831},{"id":"https://openalex.org/keywords/covid-19","display_name":"COVID-19 pandemic","score":0.8799999952316284},{"id":"https://openalex.org/keywords/market-distress","display_name":"market distress","score":0.5649999976158142}],"concepts":[{"id":"https://openalex.org/C2776142675","wikidata":"https://www.wikidata.org/wiki/Q7939999","display_name":"Volatility clustering","level":4,"score":0.7268103361129761},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.6842646598815918},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6830830574035645},{"id":"https://openalex.org/C8038995","wikidata":"https://www.wikidata.org/wiki/Q1152135","display_name":"Unsupervised learning","level":2,"score":0.6348506212234497},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.44963523745536804},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4326302707195282},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.35162413120269775},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33564019203186035},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.28053727746009827},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.1566329002380371}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.resourpol.2021.102162","doi":"https://doi.org/10.1016/j.resourpol.2021.102162","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.resourpol.2021.102162","pdf_url":null,"source":{"id":"https://openalex.org/S194185345","display_name":"Resources Policy","issn_l":"0301-4207","issn":["0301-4207","1873-7641"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resources Policy","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.3791138","doi":"https://doi.org/10.2139/ssrn.3791138","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3791138","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0301420721001768","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.3791138","doi":"https://doi.org/10.2139/ssrn.3791138","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3791138","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":178,"referenced_works":["https://openalex.org/W8870360","https://openalex.org/W78181647","https://openalex.org/W101836494","https://openalex.org/W585227903","https://openalex.org/W622462051","https://openalex.org/W655089096","https://openalex.org/W745024300","https://openalex.org/W1490914203","https://openalex.org/W1490923526","https://openalex.org/W1525955206","https://openalex.org/W1532325895","https://openalex.org/W1537351552","https://openalex.org/W1542166550","https://openalex.org/W1542657792","https://openalex.org/W1565387421","https://openalex.org/W1576123718","https://openalex.org/W1582000793","https://openalex.org/W1586537758","https://openalex.org/W1590752826","https://openalex.org/W1866021196","https://openalex.org/W1875842236","https://openalex.org/W1964346230","https://openalex.org/W1965767194","https://openalex.org/W1967716899","https://openalex.org/W1972805005","https://openalex.org/W1975675839","https://openalex.org/W1977499272","https://openalex.org/W1978701348","https://openalex.org/W1983766426","https://openalex.org/W1985030584","https://openalex.org/W1985475630","https://openalex.org/W1987971958","https://openalex.org/W1992419399","https://openalex.org/W1993126663","https://openalex.org/W2004566760","https://openalex.org/W2006891577","https://openalex.org/W2012205324","https://openalex.org/W2013768812","https://openalex.org/W2017754509","https://openalex.org/W2024959238","https://openalex.org/W2032191703","https://openalex.org/W2033273362","https://openalex.org/W2035890032","https://openalex.org/W2044542168","https://openalex.org/W2045023128","https://openalex.org/W2047303286","https://openalex.org/W2048239613","https://openalex.org/W2054477007","https://openalex.org/W2055760237","https://openalex.org/W2062533889","https://openalex.org/W2073162999","https://openalex.org/W2075117036","https://openalex.org/W2075257711","https://openalex.org/W2075585362","https://openalex.org/W2079280786","https://openalex.org/W2079493819","https://openalex.org/W2080015459","https://openalex.org/W2084341220","https://openalex.org/W2088879945","https://openalex.org/W2089468765","https://openalex.org/W2091559709","https://openalex.org/W2092817168","https://openalex.org/W2093534945","https://openalex.org/W2094043862","https://openalex.org/W2100483895","https://openalex.org/W2100826087","https://openalex.org/W2107802909","https://openalex.org/W2109983236","https://openalex.org/W2111162011","https://openalex.org/W2116516955","https://openalex.org/W2118160287","https://openalex.org/W2127218421","https://openalex.org/W2128728535","https://openalex.org/W2131607870","https://openalex.org/W2133109597","https://openalex.org/W2133854314","https://openalex.org/W2138153039","https://openalex.org/W2140131129","https://openalex.org/W2141807666","https://openalex.org/W2149489931","https://openalex.org/W2153794550","https://openalex.org/W2158140512","https://openalex.org/W2163600634","https://openalex.org/W2168596788","https://openalex.org/W2169310537","https://openalex.org/W2170100509","https://openalex.org/W2171423367","https://openalex.org/W2185118523","https://openalex.org/W2187089797","https://openalex.org/W2193571228","https://openalex.org/W2234763457","https://openalex.org/W2239335835","https://openalex.org/W2261663051","https://openalex.org/W2289397016","https://openalex.org/W2291119068","https://openalex.org/W2296013082","https://openalex.org/W2326410931","https://openalex.org/W2462044331","https://openalex.org/W2467441066","https://openalex.org/W2511852057","https://openalex.org/W2526420136","https://openalex.org/W2536256012","https://openalex.org/W2567959389","https://openalex.org/W2575917280","https://openalex.org/W2584119522","https://openalex.org/W2587019100","https://openalex.org/W2592261270","https://openalex.org/W2608169504","https://openalex.org/W2613062015","https://openalex.org/W2751862591","https://openalex.org/W2760551010","https://openalex.org/W2765446487","https://openalex.org/W2774003868","https://openalex.org/W2782902016","https://openalex.org/W2784010521","https://openalex.org/W2784489644","https://openalex.org/W2784927660","https://openalex.org/W2785863263","https://openalex.org/W2789251334","https://openalex.org/W2792137378","https://openalex.org/W2794741712","https://openalex.org/W2885520603","https://openalex.org/W2886832133","https://openalex.org/W2887568436","https://openalex.org/W2890669616","https://openalex.org/W2919553970","https://openalex.org/W2920990744","https://openalex.org/W2943763361","https://openalex.org/W2950612391","https://openalex.org/W2963618969","https://openalex.org/W2963923670","https://openalex.org/W2965338598","https://openalex.org/W2969793651","https://openalex.org/W2971730942","https://openalex.org/W2979456725","https://openalex.org/W2979935139","https://openalex.org/W2980955033","https://openalex.org/W2990375817","https://openalex.org/W2990497661","https://openalex.org/W2999420093","https://openalex.org/W3000084948","https://openalex.org/W3006420849","https://openalex.org/W3014739574","https://openalex.org/W3015322877","https://openalex.org/W3018475622","https://openalex.org/W3022908605","https://openalex.org/W3036658685","https://openalex.org/W3037180392","https://openalex.org/W3038833021","https://openalex.org/W3041553367","https://openalex.org/W3080366299","https://openalex.org/W3099661174","https://openalex.org/W3099723194","https://openalex.org/W3100922249","https://openalex.org/W3121607397","https://openalex.org/W3121940608","https://openalex.org/W3122648268","https://openalex.org/W3123143752","https://openalex.org/W3123432395","https://openalex.org/W3134824859","https://openalex.org/W4205552234","https://openalex.org/W4205930990","https://openalex.org/W4213009331","https://openalex.org/W4213106052","https://openalex.org/W4231934124","https://openalex.org/W4237492828","https://openalex.org/W4239696231","https://openalex.org/W4242150647","https://openalex.org/W4243564990","https://openalex.org/W4243740471","https://openalex.org/W4249189609","https://openalex.org/W4252582136","https://openalex.org/W4254491045","https://openalex.org/W4289615816","https://openalex.org/W4299432846","https://openalex.org/W6679744199","https://openalex.org/W6834473044","https://openalex.org/W7046137266"],"related_works":["https://openalex.org/W2047303286","https://openalex.org/W3204891529","https://openalex.org/W4383067019","https://openalex.org/W4322709904","https://openalex.org/W4409633196","https://openalex.org/W4391917892","https://openalex.org/W7220948896","https://openalex.org/W4385774270","https://openalex.org/W3013703284","https://openalex.org/W1604112082"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":4}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2021-06-22T00:00:00"}