Exploring linkages between international stock markets
This presentation is the property of its rightful owner.
Sponsored Links
1 / 25

Gehlavij Mohammadi 2014 PowerPoint PPT Presentation


  • 85 Views
  • Uploaded on
  • Presentation posted in: General

Exploring linkages between international stock markets using 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.

Download Presentation

Gehlavij Mohammadi 2014

An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -

Presentation Transcript


Gehlavij mohammadi 2014

Exploring linkages between international stock marketsusing Graphical models for multivariate time series

GehlavijMohammadi

2014


Contents

contents

  • Basic definition

  • Graphical models for multivariate time series

  • Theory from TSC graph to causality graph

  • Degrees of causality

  • Experiments


Basic definition

Basic definition

Where,


Basic definition1

Basic definition


Graphical models for multivariate time series

Graphical models for multivariate time series

  • Time series chain graph

  • Granger causality


Graphical models for multivariate time series1

Graphical models for multivariate time series

Time series chain graph


Graphical models for multivariate time series2

Graphical models for multivariate time series

TSC-graph for a Vector autoregressive process


Graphical models for multivariate time series3

Graphical models for multivariate time series

Granger causality graph


Theory from tsc graph to causality graph

Theory from TSC-graph to causality graph


Theory from tsc graph to causality graph1

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 graph2

Theory from TSC-graph to causality graph

  • Corresponding TSC-graph for the VAR process


Theory from tsc graph to causality graph3

Theory from TSC-graph to causality graph

  • Corresponding causality graph


Degrees of causality

Degrees of causality


Degrees of causality1

Degrees of causality

  • Weighted causality graph


Experiments

Experiments

  • Methodology

    • Data

    • Finding intervals of analysis with regression tree

    • Fitting VAR model

    • Construct Tsc-graph

    • Obtain causality graph from Tsc-graph


Experiments1

Experiments

  • Basic example

    • Data (Japan(Nikkei2250, UK(FTSE100), USA(S&P500))

    • Finding intervals of analysis with regression tree


Experiments2

Experiments

  • Basic example

    • Finding intervals of analysis with regression tree


Experiments3

Experiments

  • Basic example

    • Fitting VAR model


Experiments4

Experiments

  • Basic example

    • Construct Tsc-graph


Experiments5

Experiments

  • Basic example

    • Obtain weighted causality graph from Tsc-graph


Experiments6

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) )


Experiments7

Experiments

  • Main example

    • Finding intervals of analysis with regression tree

      With respect to VLIC and Euro stock indices


Experiments8

Experiments

  • Main example

    • Finding intervals of analysis with regression tree


Experiments9

Experiments

  • Main example

    • Fitting VAR model

    • Construct Tsc-graph

    • Obtain causality graph from Tsc-graph


Experiments10

Experiments

  • Main example


  • Login