比特币和其他金融资产之间的网络因果关系结构：有向无环图方法

比特币和其他金融资产之间的网络因果关系结构：有向无环图方法
The Quarterly Review of Economics and Finance
Volume 70, November 2018, Pages 203-213
作者：Qiang Ji, Elie Bouri,
Rangan Gupta, David Roubaud

摘要：本文使用一种数据驱动的方法，即有向无环图，来揭示比特币和其他资产类别之间的同步和滞后关系。所采用的方法使我们能够根据观测到的相关性和部分相关性的测量来确定因果网络，而不依赖于先验假设。来自同期分析的结果表明，比特币市场是相当孤立的，没有特定的资产在影响比特币市场中起主导作用。然而，本文发现比特币与一些资产之间的滞后关系，特别是在比特币的熊市阶段。这一发现表明，比特币和其他金融资产之间的整合是一个持续的过程，会随着时间的推移而变化。本文进行预测误差方差分解，发现在20天的时间内，每一种其他资产对比特币的影响不多于所有创新的11%。

Network causality structures among Bitcoinand other financial assets: A directed acyclic graph approach
Abstract: We use a data-driven methodology, namely the directed acyclic graph, to uncover the contemporaneous and lagged relations between Bitcoin and other asset classes. The adopted methodology allows us to identify causal networks based on the measurements of observed correlations and partial correlations, without relying on a priori assumptions. Results from the contemporaneous analysis indicate that the Bitcoin market is quite isolated, and no specific asset plays a dominant role in influencing the Bitcoin market. However, we find evidence of lagged relationships between Bitcoin and some assets, especially during the bear market state of Bitcoin. This finding suggests that the integration between the Bitcoin and other financial assets is a continuous process that varies over time. We conduct forecast error variance decompositions and find that the influence of each of the other assets on Bitcoin over a 20-day horizon does not account for more than 11% of all innovations.

翻译：郑瑜琦

CAFR区块链应用研究

长按点关注哦~

▼▼▼全文链接请点击“阅读原文”