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Causal Analysis of Futures Sugar Prices in Zhengzhou

Acta Mathematicae Applicatae Sinica 2012年第1期28卷 39-48页

作者： Fang WANG Xing-wei TONG Jing XU Jian-ping CHEN School of Mathematical Science Beijing Normal UniversityBeijing 100875China School of Information Technology and Management Engineering University of International Business and EconomicsBeijing 100029China China International Science and Technology Convention Center No.12 Yumin RoadChaoyang DistrictBeijing 100029China

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.

关键词： causal relationship Bayesian network BD metric AIC metric bic metric

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