金融市场的线性和非线性因果关系.
Haochun Ma1,2, Davide Prosperino1,2, Alexander Haluszczynski2
1Department of Physics, Ludwig-Maximilians-Universität München, Schellingstraße 4, Munich 80799, Germany.
Chaos (Woodbury, N.Y.)
|November 12, 2024
概括
金融市场表现出显著的非线性因果关系,传统的线性相关性措施忽略了这一点. 本研究引入了一个框架来量化非线性因果关系,以改善交易和风险管理.
科学领域:
- 量化金融 量化金融
- 金融计量经济学 金融计量经济学
- 复杂系统分析 复杂系统分析
背景情况:
- 准确评估金融工具的相互依赖性至关重要,但具有挑战性.
- 像皮尔森相关性这样的传统线性指标对复杂的市场动态的解释能力有限.
研究的目的:
- 开发一个评估金融市场线性和非线性相互依赖性的一般框架.
- 用先进的因果推断方法识别和量化线性和非线性因果关系.
主要方法:
- 利用转移和融合交叉映射进行因果推理.
- 运用富里叶变换替代物来区分线性和非线性因果关系贡献.
- 将框架应用于德国和美国的股票指数.
主要成果:
- 在股票指数中发现了显著的非线性因果关系.
- 皮尔森相关性低估了真正的因果关系,忽略了非线性效应.
- 该框架成功地测量了非线性因果关系和相关因果关系谬论.
结论:
- 非线性因果关系是金融市场的一个重要因素,需要先进的分析方法.
- 开发的框架提供了对金融市场相互依赖的更全面的理解.
- 确定线性和非线性因果关系可以作为市场异常的早期预警指标,并为风险管理策略提供信息.
相关概念视频
Classification of Systems-I
169
Linearity is a system property characterized by a direct input-output relationship, combining homogeneity and additivity.
Homogeneity dictates that if an input x(t) is multiplied by a constant c, the output y(t) is multiplied by the same constant. Mathematically, this is expressed as:
Homogeneity dictates that if an input x(t) is multiplied by a constant c, the output y(t) is multiplied by the same constant. Mathematically, this is expressed as:
169
Linear Approximation in Frequency Domain
85
Linear systems are characterized by two main properties: superposition and homogeneity. Superposition allows the response to multiple inputs to be the sum of the responses to each individual input. Homogeneity ensures that scaling an input by a scalar results in the response being scaled by the same scalar.
In contrast, nonlinear systems do not inherently possess these properties. However, for small deviations around an operating point, a nonlinear system can often be approximated as linear....
In contrast, nonlinear systems do not inherently possess these properties. However, for small deviations around an operating point, a nonlinear system can often be approximated as linear....
85
Nonlinear Pharmacokinetics: Causes of Nonlinearity
132
Nonlinearity in drug pharmacokinetics is caused by various factors influencing how a drug is absorbed, distributed, metabolized, and excreted. Understanding these nonlinear processes is crucial for predicting drug behavior in the body and optimizing drug dosing regimens.
Nonlinear drug absorption can occur when the process is rate-limited by solubility, carrier-mediated transport systems, or saturation of the presystemic gut wall or hepatic metabolism. For instance, high doses of riboflavin...
Nonlinear drug absorption can occur when the process is rate-limited by solubility, carrier-mediated transport systems, or saturation of the presystemic gut wall or hepatic metabolism. For instance, high doses of riboflavin...
132
Linear time-invariant Systems
216
A system is linear if it displays the characteristics of homogeneity and additivity, together termed the superposition property. This principle is fundamental in all linear systems. Linear time-invariant (LTI) systems include systems with linear elements and constant parameters.
The input-output behavior of an LTI system can be fully defined by its response to an impulsive excitation at its input. Once this impulse response is known, the system's reaction to any other input can be...
The input-output behavior of an LTI system can be fully defined by its response to an impulsive excitation at its input. Once this impulse response is known, the system's reaction to any other input can be...
216
Nonlinear Pharmacokinetics: Overview
282
Nonlinear or dose-dependent pharmacokinetics is a phenomenon that occurs when the pharmacokinetic parameters of certain drugs deviate from linear pharmacokinetics at higher doses. These drugs do not follow the expected first-order kinetics, where the rate of drug elimination is directly proportional to the drug concentration. Instead, they exhibit a nonlinear relationship, which can be attributed to several factors.
Nonlinearity can arise due to the saturation of plasma protein-binding or...
Nonlinearity can arise due to the saturation of plasma protein-binding or...
282
Linear Approximation in Time Domain
64
Nonlinear systems often require sophisticated approaches for accurate modeling and analysis, with state-space representation being particularly effective. This method is especially useful for systems where variables and parameters vary with time or operating conditions, such as in a simple pendulum or a translational mechanical system with nonlinear springs.
For a simple pendulum with a mass evenly distributed along its length and the center of mass located at half the pendulum's length,...
For a simple pendulum with a mass evenly distributed along its length and the center of mass located at half the pendulum's length,...
64


