Multiscale Causal Structure Learning

Gabriele D'Acunto; Paolo Di Lorenzo; Sergio Barbarossa

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arXiv · 2207.07908

Multiscale Causal Structure Learning

Gabriele D'Acunto·Paolo Di Lorenzo·Sergio Barbarossa

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Abstract

The inference of causal structures from observed data plays a key role in unveiling the underlying dynamics of the system. This paper exposes a novel method, named Multiscale-Causal Structure Learning (MS-CASTLE), to estimate the structure of linear causal relationships occurring at different time scales. Differently from existing approaches, MS-CASTLE takes explicitly into account instantaneous and lagged inter-relations between multiple time series, represented at different scales, hinging on stationary wavelet transform and non-convex optimization. MS-CASTLE incorporates, as a special case, a single-scale version named SS-CASTLE, which compares favorably in terms of computational efficiency, performance and robustness with respect to the state of the art onto synthetic data. We used MS-CASTLE to study the multiscale causal structure of the risk of 15 global equity markets, during covid-19 pandemic, illustrating how MS-CASTLE can extract meaningful information thanks to its multiscale analysis, outperforming SS-CASTLE. We found that the most persistent and strongest interactions occur at mid-term time resolutions. Moreover, we identified the stock markets that drive the risk during the considered period: Brazil, Canada and Italy. The proposed approach can be exploited by financial investors who, depending to their investment horizon, can manage the risk within equity portfolios from a causal perspective.

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Gabriele D'Acunto, Paolo Di Lorenzo, Sergio Barbarossa. 2022-07-16. Multiscale Causal Structure Learning. https://arxiv.org/abs/2207.07908

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