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Title: Identification of stock market forces in the system adaptation framework
Authors: Zheng, X.
Chen, B.M. 
Keywords: Financial system modeling
Granger causality test
market input selection
system adaptation
Issue Date: 2011
Citation: Zheng, X.,Chen, B.M. (2011). Identification of stock market forces in the system adaptation framework. IEEE International Conference on Control and Automation, ICCA : 340-347. ScholarBank@NUS Repository.
Abstract: Based on the system adaptation framework which has been proposed in our previous work, this paper focuses on the input part, that is the identification of market influential factors. We first carry out the empirical research to preselect some possible factors from economic and sentiment aspects. The causal and multicollinear relationships between each of them and the external force of the market are then tested. As the causal relationship plays an essential role in this method, both linear time-varying and nonlinear causality tests are employed based on the predictive ability of our framework. We apply this double selection method to the U.S. and China's stock markets, and it is shown that our method is efficient in identifying possible influential factors. These factors are found to be market-dependent. Some well-tested factors in the developed market and literature may not work in the emerging market. © 2011 IEEE.
Source Title: IEEE International Conference on Control and Automation, ICCA
ISBN: 9781457714757
ISSN: 19483449
DOI: 10.1109/ICCA.2011.6138027
Appears in Collections:Staff Publications

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