The goal of patterncausality is to measure the causality in the complex system. The core of this algorithm is measure the strength of each causality status like positive, negative, and dark in the view of complex system, this method could be used for many different fields like financial market, ecosystem, medical diagnosis and so on.
This algorithm has a lot of advantages.
You can install the development version of patterncausality from GitHub with:
# install.packages("devtools")
::install_github("skstavroglou/pattern_causality") devtools
You can also install the package from CRAN with:
install.packages("patterncausality")
We can import the existing data.
library(patterncausality)
data(climate)
head(climate)
#> Date AO AAO NAO PNA
#> 1 1979-01-01 -2.2328 0.2088 -1.38 -0.69
#> 2 1979-02-01 -0.6967 0.3563 -0.67 -1.82
#> 3 1979-03-01 -0.8141 0.8992 0.78 0.38
#> 4 1979-04-01 -1.1568 0.6776 -1.71 0.09
#> 5 1979-05-01 -0.2501 0.7237 -1.03 1.35
#> 6 1979-06-01 0.9332 1.7000 1.60 -1.64
This dataset contains 4 time series of climate index, we could use the patterncausality in this dataset.
Then we need to determine the E
and
tao
.
<- climate[, -1] # remove the date column
dataset <- optimalParametersSearch(Emax = 5, tauMax = 5, metric = "euclidean", dataset = dataset) parameter
Total | of which Positive | of which Negative | of which Dark | ||
---|---|---|---|---|---|
E=2 | tau=1 | 0.5543614 | 0.5519477 | 0.4474361 | 0.0006162144 |
E=2 | tau=2 | 0.5727414 | 0.5736100 | 0.4232828 | 0.0031071596 |
E=2 | tau=3 | 0.5711838 | 0.5469069 | 0.4513270 | 0.0017660870 |
E=3 | tau=1 | 0.3305296 | 0.3457169 | 0.2470929 | 0.4071902523 |
E=3 | tau=2 | 0.3500000 | 0.4037138 | 0.2547524 | 0.3415338782 |
E=3 | tau=3 | 0.3570093 | 0.3657638 | 0.2690536 | 0.3651826225 |
Of course, we can also change the distance style to calculate the distance matrix. Then according the combo that produces the highest percentages collectively, we can choose the best parameters here.
After the parameters are confirmed, we could calculate the pattern causality.
<- climate$AO
X <- climate$AAO
Y <- pcLightweight(X, Y, E = 3, tau = 2, metric = "euclidean", h = 1, weighted = TRUE, tpb=FALSE)
pc print(pc)
#> total positive negative dark
#> 1 0.2841121 0.326087 0.2318841 0.442029
Then the percentage of each status will be showed below.
If we wonder the status in each time point, we can run the code.
<- climate$AO
X <- climate$AAO
Y <- pcFullDetails(X, Y, E = 2, tau = 1, metric = "euclidean", h = 3, weighted = TRUE)
detail <- detail$spectrumOfCausalityPredicted
predict_status <- detail$spectrumOfCausalityReal real_status
Then the status series will be saved in predict_status
and real_status
.
After calculating the causality, we can get the result here.
Pairs | total | positive | negative | dark | Dataset |
---|---|---|---|---|---|
AAPL –> MSFT | 0.2698665 | 0.3881279 | 0.1369863 | 0.4748858 | stock |
MSFT –> AAPL | 0.2759887 | 0.4075893 | 0.1388393 | 0.4535714 | stock |
AO –> AAO | 0.2841121 | 0.326087 | 0.2318841 | 0.442029 | climate |
AAO –> AO | 0.2803738 | 0.3602941 | 0.2647059 | 0.375 | climate |
AO –> P | 0.3084112 | 0.1192053 | 0.4503311 | 0.4304636 | AUCO |
P –> AO | 0.3308411 | 0.3374233 | 0.2515337 | 0.4110429 | AUCO |
Stavros is lecturer in credit risk and fin-tech at the University of Edinburgh Business School and is the main creator for the algorithm of the pattern causality.
Athanasios is professor in econometrics and business statistics of Monash Business School and is the main author of the pattern causality.
Hui is MPhil student in econometrics and business
statistics of Monash Business School and is the author and maintainer of
the patterncausality
package.
Stavroglou, S. K., Pantelous, A. A., Stanley, H. E., & Zuev, K. M. (2019). Hidden interactions in financial markets. Proceedings of the National Academy of Sciences, 116(22), 10646-10651.
Stavroglou, S. K., Pantelous, A. A., Stanley, H. E., & Zuev, K. M. (2020). Unveiling causal interactions in complex systems. Proceedings of the National Academy of Sciences, 117(14), 7599-7605.
Stavroglou, S. K., Ayyub, B. M., Kallinterakis, V., Pantelous, A. A., & Stanley, H. E. (2021). A novel causal risk‐based decision‐making methodology: The case of coronavirus. Risk Analysis, 41(5), 814-830.