Abstract
In this research, we propose deep networks that discover Granger causes from multivariate temporal data generated in financial markets. We introduce a Deep Neural Network (DNN) and a Recurrent Neural Network (RNN) that discover Granger-causal features for bivariate regression on bivariate time series data distributions. These features are subsequently used to discover Granger-causal graphs for multivariate regression on multivariate time series data distributions. Our supervised feature learning process in proposed deep regression networks has favourable F-tests for feature selection and t-tests for model comparisons. The experiments, minimizing root mean squared errors in the regression analysis on real stock market data obtained from Yahoo Finance, demonstrate that our causal features significantly improve the existing deep learning regression models.
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This research is partially funded by The Capital Markets Cooperative Research Centre, Australia.
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Chivukula, A.S., Li, J., Liu, W. (2018). Discovering Granger-Causal Features from Deep Learning Networks. In: Mitrovic, T., Xue, B., Li, X. (eds) AI 2018: Advances in Artificial Intelligence. AI 2018. Lecture Notes in Computer Science(), vol 11320. Springer, Cham. https://doi.org/10.1007/978-3-030-03991-2_62
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DOI: https://doi.org/10.1007/978-3-030-03991-2_62
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