Causal structure learning methods are vital for unveiling causal relationships embedded into observed data. However, the state of the art suffers a major limitation: it assumes that causal interactions occur only at the frequency at which data is observed. To address this limitation, this paper proposes a method that allows structural learning of linear causal relationships occurring at different time scales. Specifically, we explicitly take into account instantaneous and lagged inter-relations between multiple time series, represented at different scales, hinging on wavelet transform. We cast the problem as the learning of a multiscale causal graph having sparse structure and dagness constraints, enforcing causality through directed and acyclic topology. To solve the resulting (non-convex) formulation, we propose an algorithm termed MS-CASTLE, which exhibits consistent performance across different noise distributions and wavelet choices. We also propose a single-scale version of our algorithm, SS-CASTLE, which outperforms existing methods in computational efficiency, performance, and robustness on synthetic data. Finally, we apply the proposed approach to learn the multiscale causal structure of the risk of 15 global equity markets, during covid-19 pandemic, illustrating the importance of multiscale analysis to reveal useful interactions at different time resolutions. Financial investors can leverage our approach to manage risk within equity portfolios from a causal perspective, tailored to their investment horizon.

Multiscale causal structure learning / D'Acunto, Gabriele; DI LORENZO, Paolo; Barbarossa, Sergio. - In: TRANSACTIONS ON MACHINE LEARNING RESEARCH. - ISSN 2835-8856. - (2023).

Multiscale causal structure learning

Gabriele D'Acunto
;
Paolo Di Lorenzo;Sergio Barbarossa
2023

Abstract

Causal structure learning methods are vital for unveiling causal relationships embedded into observed data. However, the state of the art suffers a major limitation: it assumes that causal interactions occur only at the frequency at which data is observed. To address this limitation, this paper proposes a method that allows structural learning of linear causal relationships occurring at different time scales. Specifically, we explicitly take into account instantaneous and lagged inter-relations between multiple time series, represented at different scales, hinging on wavelet transform. We cast the problem as the learning of a multiscale causal graph having sparse structure and dagness constraints, enforcing causality through directed and acyclic topology. To solve the resulting (non-convex) formulation, we propose an algorithm termed MS-CASTLE, which exhibits consistent performance across different noise distributions and wavelet choices. We also propose a single-scale version of our algorithm, SS-CASTLE, which outperforms existing methods in computational efficiency, performance, and robustness on synthetic data. Finally, we apply the proposed approach to learn the multiscale causal structure of the risk of 15 global equity markets, during covid-19 pandemic, illustrating the importance of multiscale analysis to reveal useful interactions at different time resolutions. Financial investors can leverage our approach to manage risk within equity portfolios from a causal perspective, tailored to their investment horizon.
2023
causal structure learning; multiscale; non-convex optimization; time series analysis; financial networks
01 Pubblicazione su rivista::01a Articolo in rivista
Multiscale causal structure learning / D'Acunto, Gabriele; DI LORENZO, Paolo; Barbarossa, Sergio. - In: TRANSACTIONS ON MACHINE LEARNING RESEARCH. - ISSN 2835-8856. - (2023).
File allegati a questo prodotto
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1689615
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact