Skip navigation
Skip navigation

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]

dc.contributor.authorBrailsford, Timothy John
dc.contributor.authorO'Neill, Terence
dc.contributor.authorPenm, Jack HW
dc.date.accessioned2015-12-07T22:19:25Z
dc.identifier.issn1740-8849
dc.identifier.urihttp://hdl.handle.net/1885/19330
dc.description.abstractIn 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.
dc.publisherInderscience Publishers
dc.sourceInternational Journal of Services and Standards
dc.subjectKeywords: Causality detection; Evolutionary algorithms
dc.titleCausality Detection on US Mutual Fund Movements using Evolutionary Subset Time-Series
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume2
dc.date.issued2006
local.identifier.absfor010401 - Applied Statistics
local.identifier.ariespublicationu8902633xPUB7
local.type.statusPublished Version
local.contributor.affiliationBrailsford, Timothy John, University of Queensland
local.contributor.affiliationO'Neill, Terence, College of Business and Economics, ANU
local.contributor.affiliationPenm, Jack HW, College of Business and Economics, ANU
local.bibliographicCitation.issue4
local.bibliographicCitation.startpage368
local.bibliographicCitation.lastpage384
local.identifier.doi10.1504/IJSS.2006.010470
dc.date.updated2015-12-07T08:35:25Z
local.identifier.scopusID2-s2.0-33751109237
CollectionsANU Research Publications

Download

There are no files associated with this item.


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator