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Latent factor models for the Chinese commodity futures markets

Author

Listed:
  • Liu, Yanchu
  • Zhou, Heyang
  • Yang, Haisheng

Abstract

The rapid growth of Chinese commodity futures markets over the past several decades has created a fertile ground for exploring underlying market dynamics. In this research, we utilize Instrumented Principal Component Analysis (IPCA) alongside the Conditional Autoencoder (CA) method to construct latent factor models tailored to this market. By uncovering hidden patterns and intrinsic characteristics that drive futures prices, our empirical results demonstrate robust out-of-sample predictive accuracy.

Suggested Citation

  • Liu, Yanchu & Zhou, Heyang & Yang, Haisheng, 2025. "Latent factor models for the Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
    • Handle: RePEc:eee:pacfin:v:93:y:2025:i:c:s0927538x25002276
    DOI: 10.1016/j.pacfin.2025.102890
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    References listed on IDEAS

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