Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series

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• 作者：Jing Xu ; Xing-wei Tong
• 关键词：causality ; partial spectral coherence ; partial correlation graph ; linear feedback ; mixed graph
• 刊名：Acta Mathematicae Applicatae Sinica, English Series
• 出版年：2016
• 出版时间：June 2016
• 年：2016
• 卷：32
• 期：1
• 页码：129-136
• 全文大小：209 KB
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• 作者单位：Jing Xu (1)
  Xing-wei Tong (2)
  
  1. School of Statistics, University of International Business and Economics, Beijing, 100029, China
  2. School of Statistics, Beijing Normal University, Beijing, 100875, China
  
• 刊物主题：Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics;
• 出版者：Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
• ISSN：1618-3932

文摘

This paper presents a method of constructing a mixed graph which can be used to analyze the causality for multivariate time series. We construct a partial correlation graph at first which is an undirected graph. For every undirected edge in the partial correlation graph, the measures of linear feedback between two time series can help us decide its direction, then we obtain the mixed graph. Using this method, we construct a mixed graph for futures sugar prices in Zhengzhou (ZF), spot sugar prices in Zhengzhou (ZS) and futures sugar prices in New York (NF). The result shows that there is a bi-directional causality between ZF and ZS, an unidirectional causality from NF to ZF, but no causality between NF and ZS.