slide1
Download
Skip this Video
Download Presentation
Gehlavij Mohammadi 2014

Loading in 2 Seconds...

play fullscreen
1 / 25

Gehlavij Mohammadi 2014 - PowerPoint PPT Presentation


  • 115 Views
  • Uploaded on

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.

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about 'Gehlavij Mohammadi 2014' - stuart


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
slide1

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
graphical models for multivariate time series
Graphical models for multivariate time series
  • Time series chain graph
  • Granger causality
graphical models for multivariate time series2
Graphical models for multivariate time series

TSC-graph for a Vector autoregressive process

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 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
ad