Granger Causality on forward and Reversed Time Series

In this study, the information flow time arrow is investigated for stochastic data defined by vector autoregressive models. The time series are analyzed forward and backward by different Granger causality detection methods. Besides the normal distribution, which is usually required for the validity of Granger causality analysis, several other distributions of predictive errors are considered. A clear effect of a change in the order of cause and effect on the time-reversed series of unidirectionally connected variables was detected with standard Granger causality test (GC), when the product of the connection strength and the ratio of the predictive errors of the driver and the recipient was below a certain level, otherwise bidirectional causal connection was detected. On the other hand, opposite causal link was detected unconditionally by the methods based on the time reversal testing, but they were not able to detect correct bidirectional connection. The usefulness of the backward analysis is manifested in cases where falsely detected unidirectional connections can be rejected by applying the result obtained after the time reversal, and in cases of uncorrelated causally independent variables, where the absence of a causal link detected by GC on the original series should be confirmed on the time-reversed series.     

Granger因果检验的非线性进展及应用研究

Granger因果检验是计量经济学的重要组成部分,也是现代经济、金融学分析的重要工具,近年来Granger因果检验在非线性检验方向有了较大进展。本文在线性Granger因果检验的基础上,阐述了Granger因果检验的非线性进展,重点总结了针对一阶矩的基于回归模型、非参函数和信息理论的三大类非线性方法以及针对二阶矩的基于残差交叉相关系数和多元条件方差模型下的两大类非线性方法,讨论了不同非线性Granger方法中数据要求、核心模型、建模关键以及模型优缺点,提出了Granger因果检验"线性-非线性"的整体框架和研究范式.通过模型分析和比较,本文可为因果检验的非线性理论和模型研究提供参考,并对因果检验在经济和金融领域的更广泛应用提供支持。     

连续交易制度与价格发现功能——基于我国黄金期货市场的实证研究

连续交易制度是提升我国黄金期货市场国际竞争力的重要举措。采用2011年1月至2014年9月中美黄金期货市场日收盘价数据,利用VEC模型、信息份额模型、VEC-BEKK-MGARCH模型、DCC-MGARCH模型,研究了该制度对上海黄金期货市场价格发现功能的影响。结果表明:制度推出后,上海黄金期货市场的价格发现功能得到提升,不过仍弱于美国市场,美国市场对上海市场的收益率传递效应减弱,两市场之间的波动溢出效应有所增强,时变动态相关系数振动幅度明显降低。     

When Can Statistical Theories Be Causally Closed?

The notion of common cause closedness of a classical, Kolmogorovian probability space with respect to a causal independence relation between the random events is defined, and propositions are presented that characterize common cause closedness for specific probability spaces. It is proved in particular that no probability space with a finite number of random events can contain common causes of all the correlations it predicts; however, it is demonstrated that probability spaces even with a finite number of random events can be common cause closed with respect to a causal independence relation that is stronger than logical independence. Furthermore it is shown that infinite, atomless probability spaces are always common cause closed in the strongest possible sense. Open problems concerning common cause closedness are formulated and the results are interpreted from the perspective of Reichenbach's Common Cause Principle (RCCP).     

云南省就业问题的趋势与控制模型研究

基于因果关系理论、因子分析理论、协整分析、自回归分布滞后模型和误差修正模型,对云南省就业问题进行了研究.建立了云南省就业的趋势和控制模型,揭示了云南省就业发展的内在规律及其与各宏观因素之间的系统作用关系.     

Entanglement, Joint Measurement, and State Reduction

Entanglement is perhaps the most important new feature of the quantum world. It is expressed in quantum theory by the joint measurement formula. We prove the formula for projection valued observables from a plausible assumption, which for spacelike separated measurements is a consequence of causality. State reduction is simply a way to express the joint measurement formula after one measurement has been made, and its result known.     

Causality Implies Formal State Collapse

A physical theory of experiments carried out in a space-time region can accommodate a detector localized in another space-like separated region, in three, not necessarily exclusive, ways: (1) the detector formally collapses physical states across space-like separations, (2) the detector enables superluminal signals, and (3) the theory becomes logically inconsistent. If such a theory admits autonomous evolving states, the space-like collapse must be instantaneous. Time-like separation does not allow such conclusions. We also prove some simple results on structural stability: within the set of all possible theories, under a weak empirical topology, the set of all theories with superluminal signals and the set of all theories with retrograde signals are both open and dense.     

Radiation Reaction of a Nonrelativistic Quantum Charged Particle

An alternative approach to analyze the nonrelativistic quantum dynamics of a rigid and extended charged particle taking into account the radiation reaction is discussed with detail. Interpretation of the field operators as annihilation and creation ones, theory of perturbations and renormalization are not used. The analysis is carried out in the Heisenberg picture with the electromagnetic field expanded in a complete orthogonal basis set of functions which allows the electromagnetic field to satisfy arbitrary boundary conditions. The corresponding coefficients are the field operators which satisfy the usual commutation relations. A nonlinear equation of motion for the charged particle is obtained. A careful consideration of the quantum effects allows the derivation of a linear equation of motion which is free of both runaway solutions and preacceleration, even for a point charge. Also, the electromagnetic mass, which is defined as the coefficient of the acceleration operator, vanishes for a point particle. However, this does not mean that the results are free of ambiguities which are exhibited and discussed.     

The Gravitational Field of an Electrically Charged Mass Point and the Causality Principle in the RTG

We find the effective Riemannian space–time corresponding to the gravitational field generated by a charged mass point in the framework of the relativistic theory of gravity. The causality principle plays an important role in solving this problem. The analytic form and the domain of definition, i.e., the gravitational radius, of the obtained solution differ from the corresponding results in Einstein's general relativity theory.     

Commodity predictability analysis with a permutation information theory approach

It is widely known that commodity markets are not totally efficient. Long-range dependence is present, and thus the celebrated Brownian motion of prices can be considered only as a first approximation. In this work we analyzed the predictability in commodity markets by using a novel approach derived from Information Theory. The complexity-entropy causality plane has been recently shown to be a useful statistical tool to distinguish the stage of stock market development because differences between emergent and developed stock markets can be easily discriminated and visualized with this representation space [L. Zunino, M. Zanin, B.M. Tabak, D.G. Pérez, O.A. Rosso, Complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency, Physica A 389 (2010) 1891-1901]. By estimating the permutation entropy and permutation statistical complexity of twenty basic commodity future markets over a period of around 20 years (1991.01.02-2009.09.01), we can define an associated ranking of efficiency. This ranking is quantifying the presence of patterns and hidden structures in these prime markets. Moreover, the temporal evolution of the commodities in the complexity-entropy causality plane allows us to identify periods of time where the underlying dynamics is more or less predictable.