gehlavij mohammadi 2014. basic definition graphical models for multivariate time series theory...
TRANSCRIPT
EXPLORING LINKAGES BETWEEN INTERNATIONAL
STOCK MARKETSUSING GRAPHICAL MODELS
FOR MULTIVARIATE TIME SERIES
Gehlavij Mohammadi
2014
CONTENTS Basic definition Graphical models for multivariate time
series Theory from TSC graph to causality
graph Degrees of causality Experiments
BASIC DEFINITION
Where,
BASIC DEFINITION
GRAPHICAL MODELS FOR MULTIVARIATE TIME SERIES Time series chain graph Granger causality
GRAPHICAL MODELS FOR MULTIVARIATE TIME SERIESTime series chain graph
GRAPHICAL MODELS FOR MULTIVARIATE TIME SERIESTSC-graph for a Vector autoregressive
process
GRAPHICAL MODELS FOR MULTIVARIATE TIME SERIESGranger causality graph
THEORY FROM TSC-GRAPH TO CAUSALITY GRAPH
THEORY FROM TSC-GRAPH TO CAUSALITY GRAPH As an example for theory 2.1, we
consider the five-dimensional VAR(2)-process with parameters
THEORY FROM TSC-GRAPH TO CAUSALITY GRAPH Corresponding TSC-graph for the VAR
process
THEORY FROM TSC-GRAPH TO CAUSALITY GRAPH Corresponding causality graph
DEGREES OF CAUSALITY
DEGREES OF CAUSALITY Weighted causality graph
EXPERIMENTS Methodology
Data Finding intervals of analysis with regression
treeFitting VAR model Construct Tsc-graphObtain causality graph from Tsc-graph
EXPERIMENTS Basic example
Data (Japan(Nikkei2250, UK(FTSE100), USA(S&P500))
Finding intervals of analysis with regression tree
EXPERIMENTS Basic example
Finding intervals of analysis with regression tree
EXPERIMENTS Basic example
Fitting VAR model
N225 FTSE SP500 N225_1 FTSE_1SP500_
1N225_2 FTSE_2
SP500_2
N225_3 FTSE_3SP500_
3
N225 0 1 1 0 1 1 1 0 0 1 0 0
FTSE 1 0 1 0 1 1 0 1 1 1 1 1
SP500 1 1 0 0 1 1 0 0 1 1 0 1
EXPERIMENTS Basic example
Construct Tsc-graph
EXPERIMENTS Basic example
Obtain weighted causality graph from Tsc-graph
EXPERIMENTS Main example
Data (Brazil(BVSP), Mexico(MXX), India(BSESN), Indonesia(JKSE), Taiwan(TWII), Germany(GDAXI), Spain(IBEX), UK(FTSE), USA(GSPC), Japan(N225), China(HSCE) )
EXPERIMENTS Main example
Finding intervals of analysis with regression tree
With respect to VLIC and Euro stock indices
EXPERIMENTS Main example
Finding intervals of analysis with regression tree
EXPERIMENTS Main example
Fitting VAR model Construct Tsc-graphObtain causality graph from Tsc-graph
EXPERIMENTS Main example