کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
387601 | 660905 | 2009 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Automatic linear causal relationship identification for financial factor modeling
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
هوش مصنوعی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Given a comprehensive set of financial factors, we use linear non-Gaussian SEM to automatically identify the causal relationships buried in the factor set. The causal structure is allowed to have cyclic edges, explicitly accommodating ‘mutual causality’ which is well acknowledged but rarely modeled in standard economic theory. The method takes advantage of both artificial intelligence and economic related techniques, and identifies one stable model from several distribution-equivalent equilibrium models for each dataset. Empirical studies on 15 financial factors reveal some interesting findings, especially for the risk-return relationship modeling and capital structure determinants discovery.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Expert Systems with Applications - Volume 36, Issue 10, December 2009, Pages 12441–12445
Journal: Expert Systems with Applications - Volume 36, Issue 10, December 2009, Pages 12441–12445
نویسندگان
Zitian Wang, Shaohua Tan,