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Acta Mathematicae Applicatae Sinica, English Series 2012, Vol. 28 Issue (1) :39-48    DOI: 10.1007/s10255-012-0122-1
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Causal Analysis of Futures Sugar Prices in Zhengzhou
Fang WANG1, Xing-wei TONG1, Jing XU2, Jian-ping CHEN3
1. School of Mathematical Science, Beijing Normal University, Beijing 100875, China;
2. School of Information Technology and Management Engineering, University of International Business and Economics, Beijing 100029, China;
3. China International Science and Technology Convention Center, No.12 Yumin Road, Chaoyang District, Beijing 100029, China
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Abstract In this paper, we are interested in investigating the causal relationships among futures sugar prices in the Zhengzhou futures exchange market (ZF), the spot sugar prices in Zhengzhou (ZS) and the futures sugar prices in New York futures exchange market (NF). A useful tool called Bayesian network is introduced to analyze the problem. Since there are only three variables in our Bayesian network, the algorithm is straightforward: we display all the 25 possible network structures and adopt certain scoring metrics to evaluate them. We applied five different scoring metrics in total. Firstly, for each metric, we obtained 24 scores, each calculated from one of the 24 possible structures i.e. a Directed Acyclic Graph (DAG). Then we eliminated the network structure which represents the independence of the three variables according to our prior knowledge concerning the futures sugar market. After that, the optimal network structure which implies the causal relationships was selected according to the corresponding scoring metric. Finally, after comparing the results from different scoring metrics, we obtained the relatively affirmative conclusion that ZS causes ZF from both the Bayesian Dirichlet (BD) metric, Bayesian Dirichlet-Akaike Information Criterion (BD-AIC) metric, Bayesian Dirichlet-Bayesian Information Criterion (BD-BIC) metric and Bayesian Information Criterion (BIC) metric. The conclusions that NF causes ZF and ZF causes ZS from the Akaike Information Criterion (AIC) metric and ZF causes ZS from the BIC metric were useful and significant to our investigation.  
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Keywordscausal relationship   Bayesian network   BD metric   AIC metric   BIC metric     
Abstract: In this paper, we are interested in investigating the causal relationships among futures sugar prices in the Zhengzhou futures exchange market (ZF), the spot sugar prices in Zhengzhou (ZS) and the futures sugar prices in New York futures exchange market (NF). A useful tool called Bayesian network is introduced to analyze the problem. Since there are only three variables in our Bayesian network, the algorithm is straightforward: we display all the 25 possible network structures and adopt certain scoring metrics to evaluate them. We applied five different scoring metrics in total. Firstly, for each metric, we obtained 24 scores, each calculated from one of the 24 possible structures i.e. a Directed Acyclic Graph (DAG). Then we eliminated the network structure which represents the independence of the three variables according to our prior knowledge concerning the futures sugar market. After that, the optimal network structure which implies the causal relationships was selected according to the corresponding scoring metric. Finally, after comparing the results from different scoring metrics, we obtained the relatively affirmative conclusion that ZS causes ZF from both the Bayesian Dirichlet (BD) metric, Bayesian Dirichlet-Akaike Information Criterion (BD-AIC) metric, Bayesian Dirichlet-Bayesian Information Criterion (BD-BIC) metric and Bayesian Information Criterion (BIC) metric. The conclusions that NF causes ZF and ZF causes ZS from the Akaike Information Criterion (AIC) metric and ZF causes ZS from the BIC metric were useful and significant to our investigation.  
Keywordscausal relationship,   Bayesian network,   BD metric,   AIC metric,   BIC metric     
Received: 2009-06-30;
Fund:

Supported by the key project of Chinese Ministry of Education (No. 309007) and the Fundamental Research Funds for the Central Universities.

Cite this article:   
.Causal Analysis of Futures Sugar Prices in Zhengzhou[J]  Acta Mathematicae Applicatae Sinica, English Serie, 2012,V28(1): 39-48
URL:  
http://www.applmath.com.cn/jweb_yysxxb_en/EN/10.1007/s10255-012-0122-1      或     http://www.applmath.com.cn/jweb_yysxxb_en/EN/Y2012/V28/I1/39
 
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