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Ouahilal, M., Mohajir, M.E., Chahhou, M. and Mohajir, B.E.E. (2017) A Novel Hybrid Model Based on Hodrick-Prescott Filter and Support Vector Regression Algorithm for Optimizing Stock Market Price Prediction. Journal of Big Data, 4, Article No. 31. https://doi.org/10.1186/s40537-017-0092-5

has been cited by the following article:

• TITLE: The Impact of Investor Attention on China’s Corn Futures Price

  AUTHORS: Lu Zhang, Yinpeng Zhang, Li Sun, Junwei Cheng

  KEYWORDS: Corn Futures Price, Baidu Index, VAR Model, Granger Causality, Investor Attention

  JOURNAL NAME: Journal of Mathematical Finance, Vol.13 No.2, May 23, 2023

  ABSTRACT: With the spread of market sentiment of global economic recession, the market favors hedging varieties such as gold and agricultural products. This paper seeks to investigate the explanations of corn futures price movements from the perspective of investor attention. We employ a time series autoregressive model (VAR) to analyze the relationship between them. Empirical results indicate that investor attention is a Granger cause of changes in the corn futures price, generating both linear and nonlinear effects on corn futures price. Furthermore, out-of-sample analysis shows that introducing the Baidu index improves the model’s prediction accuracy.