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q-fin.ST2025
Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe)
Cameron Cornell, Lewis Mitchell, Matthew Roughan
Causal networks offer an intuitive framework to understand influence structures within time series systems. However, the presence of cycles can obscure dynamic relationships and hi…
q-fin.ST2024★ 1 cited
Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression
Cameron Cornell, Lewis Mitchell, Matthew Roughan
Financial networks can be constructed using statistical dependencies found within the price series of speculative assets. Across the various methods used to infer these networks, t…