Causality Detection on US Mutual Fund Movements using Evolutionary Subset Time-Series
| dc.contributor.author | Brailsford, Timothy John | |
| dc.contributor.author | O'Neill, Terence | |
| dc.contributor.author | Penm, Jack HW | |
| dc.date.accessioned | 2015-12-07T22:19:25Z | |
| dc.date.issued | 2006 | |
| dc.date.updated | 2015-12-07T08:35:25Z | |
| dc.description.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. | |
| dc.identifier.issn | 1740-8849 | |
| dc.identifier.uri | http://hdl.handle.net/1885/19330 | |
| dc.publisher | Inderscience Publishers | |
| dc.source | International Journal of Services and Standards | |
| dc.subject | Keywords: Causality detection; Evolutionary algorithms | |
| dc.title | Causality Detection on US Mutual Fund Movements using Evolutionary Subset Time-Series | |
| dc.type | Journal article | |
| local.bibliographicCitation.issue | 4 | |
| local.bibliographicCitation.lastpage | 384 | |
| local.bibliographicCitation.startpage | 368 | |
| local.contributor.affiliation | Brailsford, Timothy John, University of Queensland | |
| local.contributor.affiliation | O'Neill, Terence, College of Business and Economics, ANU | |
| local.contributor.affiliation | Penm, Jack HW, College of Business and Economics, ANU | |
| local.contributor.authoremail | u7601382@anu.edu.au | |
| local.contributor.authoruid | O'Neill, Terence, u7601382 | |
| local.contributor.authoruid | Penm, Jack HW, u7800853 | |
| local.description.notes | Imported from ARIES | |
| local.identifier.absfor | 010401 - Applied Statistics | |
| local.identifier.ariespublication | u8902633xPUB7 | |
| local.identifier.citationvolume | 2 | |
| local.identifier.doi | 10.1504/IJSS.2006.010470 | |
| local.identifier.scopusID | 2-s2.0-33751109237 | |
| local.identifier.uidSubmittedBy | u8902633 | |
| local.type.status | Published Version |