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Causality Detection on US Mutual Fund Movements using Evolutionary Subset Time-Series

Brailsford, Timothy John; O'Neill, Terence; Penm, Jack HW

Description

In this paper we develop an evolutionary kernel-based time update algorithm to recursively estimate subset discrete lag models (including full-order models) with a forgetting factor and a constant term, using the exact-windowed case. The algorithm applies to causality detection when the true relationship occurs with a continuous or a random delay. We then demonstrate the use of the proposed evolutionary algorithm to study the monthly mutual fund data, which come from the 'CRSP Survivor-bias...[Show more]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/19330
Source: International Journal of Services and Standards
DOI: 10.1504/IJSS.2006.010470

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