Causality Detection on US Mutual Fund Movements using Evolutionary Subset Time-Series
Date
2006
Authors
Brailsford, Timothy John
O'Neill, Terence
Penm, Jack HW
Journal Title
Journal ISSN
Volume Title
Publisher
Inderscience Publishers
Abstract
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 free US Mutual Fund Database'. The results show that the NAV is an influential player on the international stage of global bond and stock markets.
Description
Keywords
Keywords: Causality detection; Evolutionary algorithms
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Source
International Journal of Services and Standards
Type
Journal article