{"id":"https://openalex.org/W1996165634","doi":"https://doi.org/10.1007/s00521-015-1915-y","title":"Intraday dynamic relationships between CSI 300 index futures and spot markets: a high-frequency analysis","display_name":"Intraday dynamic relationships between CSI 300 index futures and spot markets: a high-frequency analysis","publication_year":2015,"publication_date":"2015-04-23","ids":{"openalex":"https://openalex.org/W1996165634","doi":"https://doi.org/10.1007/s00521-015-1915-y","mag":"1996165634"},"language":"en","primary_location":{"id":"doi:10.1007/s00521-015-1915-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00521-015-1915-y","pdf_url":null,"source":{"id":"https://openalex.org/S147897268","display_name":"Neural Computing and Applications","issn_l":"0941-0643","issn":["0941-0643","1433-3058"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Neural Computing and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5037714721","display_name":"Bei Zhou","orcid":"https://orcid.org/0000-0001-9639-2560"},"institutions":[{"id":"https://openalex.org/I100188998","display_name":"Harbin University of Science and Technology","ror":"https://ror.org/04e6y1282","country_code":"CN","type":"education","lineage":["https://openalex.org/I100188998"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Bei Zhou","raw_affiliation_strings":["School of Economics, Harbin University of Science and Technology, Harbin, 150080, Heilongjiang, China","School of Economics, Harbin University of Science and Technology, Harbin, China 150080#TAB#"],"affiliations":[{"raw_affiliation_string":"School of Economics, Harbin University of Science and Technology, Harbin, 150080, Heilongjiang, China","institution_ids":["https://openalex.org/I100188998"]},{"raw_affiliation_string":"School of Economics, Harbin University of Science and Technology, Harbin, China 150080#TAB#","institution_ids":["https://openalex.org/I100188998"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103094416","display_name":"Chong Wu","orcid":"https://orcid.org/0000-0003-1017-4496"},"institutions":[{"id":"https://openalex.org/I4210161462","display_name":"Heilongjiang Institute of Technology","ror":"https://ror.org/05x0m9n95","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210161462"]},{"id":"https://openalex.org/I204983213","display_name":"Harbin Institute of Technology","ror":"https://ror.org/01yqg2h08","country_code":"CN","type":"education","lineage":["https://openalex.org/I204983213"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Chong Wu","raw_affiliation_strings":["School of Management, Harbin Institute of Technology, Harbin, 150001, Heilongjiang, China","School of Management Harbin Institute of Technology Harbin China 150001"],"affiliations":[{"raw_affiliation_string":"School of Management, Harbin Institute of Technology, Harbin, 150001, Heilongjiang, China","institution_ids":["https://openalex.org/I4210161462","https://openalex.org/I204983213"]},{"raw_affiliation_string":"School of Management Harbin Institute of Technology Harbin China 150001","institution_ids":["https://openalex.org/I204983213"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5037714721"],"corresponding_institution_ids":["https://openalex.org/I100188998"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.05573685,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"27","issue":"4","first_page":"1007","last_page":"1017"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998000264167786,"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"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998000264167786,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9987999796867371,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9933000206947327,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.8726707696914673},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6406514644622803},{"id":"https://openalex.org/keywords/spot-market","display_name":"Spot market","score":0.6223768591880798},{"id":"https://openalex.org/keywords/vector-autoregression","display_name":"Vector autoregression","score":0.6137381196022034},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.6031509637832642},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.5994475483894348},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.528745174407959},{"id":"https://openalex.org/keywords/spot-contract","display_name":"Spot contract","score":0.477077841758728},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.47393161058425903},{"id":"https://openalex.org/keywords/shock","display_name":"Shock (circulatory)","score":0.45889970660209656},{"id":"https://openalex.org/keywords/price-discovery","display_name":"Price discovery","score":0.4412483274936676},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.36749815940856934},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.12391287088394165}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.8726707696914673},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6406514644622803},{"id":"https://openalex.org/C2776789725","wikidata":"https://www.wikidata.org/wiki/Q1572221","display_name":"Spot market","level":3,"score":0.6223768591880798},{"id":"https://openalex.org/C133029050","wikidata":"https://www.wikidata.org/wiki/Q385593","display_name":"Vector autoregression","level":2,"score":0.6137381196022034},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6031509637832642},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.5994475483894348},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.528745174407959},{"id":"https://openalex.org/C175223733","wikidata":"https://www.wikidata.org/wiki/Q1047888","display_name":"Spot contract","level":3,"score":0.477077841758728},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.47393161058425903},{"id":"https://openalex.org/C2781300812","wikidata":"https://www.wikidata.org/wiki/Q178061","display_name":"Shock (circulatory)","level":2,"score":0.45889970660209656},{"id":"https://openalex.org/C39658296","wikidata":"https://www.wikidata.org/wiki/Q7242611","display_name":"Price discovery","level":3,"score":0.4412483274936676},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36749815940856934},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.12391287088394165},{"id":"https://openalex.org/C126322002","wikidata":"https://www.wikidata.org/wiki/Q11180","display_name":"Internal medicine","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C206658404","wikidata":"https://www.wikidata.org/wiki/Q12725","display_name":"Electricity","level":2,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C119599485","wikidata":"https://www.wikidata.org/wiki/Q43035","display_name":"Electrical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s00521-015-1915-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00521-015-1915-y","pdf_url":null,"source":{"id":"https://openalex.org/S147897268","display_name":"Neural Computing and Applications","issn_l":"0941-0643","issn":["0941-0643","1433-3058"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Neural Computing and Applications","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W1727659491","https://openalex.org/W1845930219","https://openalex.org/W1967271324","https://openalex.org/W1976777669","https://openalex.org/W1977480757","https://openalex.org/W1979575715","https://openalex.org/W1980572795","https://openalex.org/W1988899076","https://openalex.org/W1994547093","https://openalex.org/W1999996900","https://openalex.org/W2007178104","https://openalex.org/W2015850495","https://openalex.org/W2017782669","https://openalex.org/W2022314361","https://openalex.org/W2029896378","https://openalex.org/W2046173191","https://openalex.org/W2051708153","https://openalex.org/W2058315064","https://openalex.org/W2070183565","https://openalex.org/W2076568899","https://openalex.org/W2082649405","https://openalex.org/W2085863901","https://openalex.org/W2089780494","https://openalex.org/W2092562006","https://openalex.org/W2095311885","https://openalex.org/W2102296628","https://openalex.org/W2106988883","https://openalex.org/W2114407659","https://openalex.org/W2143053136","https://openalex.org/W2151389795","https://openalex.org/W3121446522","https://openalex.org/W3124389411","https://openalex.org/W3125564657","https://openalex.org/W3125654725"],"related_works":["https://openalex.org/W1830908385","https://openalex.org/W3122270650","https://openalex.org/W2225867315","https://openalex.org/W4372232592","https://openalex.org/W4256513999","https://openalex.org/W2743529385","https://openalex.org/W2185282643","https://openalex.org/W3122762713","https://openalex.org/W3125703388","https://openalex.org/W3183678605"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
