应用因果发现方法分析期货价格间的关联性

Reveal the Influential Relationship between Futures Prices by Causal Discovery Methods

为了提高金融领域决策的合理性,理解期货价格之间的影响关系是必要的。本文分析石油、黄金和白银期货价格之间的关联性。采用自回归单位根检验判断时间序列的平稳性,并使用一阶差分方法将非平稳序列转化为平稳序列,然后通过贝叶斯信息准则估计序列之间的相对时滞,最后应用差异区域平衡法分析石油、黄金和白银之间的关系。研究的结果表明,石油和黄金、黄金和白银之间的价格存在变化的因果关系。

It is necessary to understand the impact relationship between futures prices in order to improve the rationality of financial decision-making.This article analyzes the correlation between oil,gold,and silver futures prices.We use autoregressive unit root test to determine the stationarity of time series,and transform non-stationary series into stationary series using first-order difference method.Then,we estimate the relative time delay between sequences using Bayesian information criterion,and finally apply the difference region balance method to analyze the relationship between oil,gold,and silver.The results of the study indicate that there is a causal relationship between the prices of oil and gold,as well as gold and silver.