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Interpretability Meets Generalizability: A Hybrid Machine Learning System to Identify Nonlinear Granger Causality in Global Stock Indices.

Yixiao LuYokiu LeeHaoran FengJohnathan LeungAlvin CheungKatharina DostKaterina TaskovaThomas Lacombe
Published in: PAKDD (2) (2023)
Keyphrases
  • machine learning
  • granger causality
  • multivariate time series
  • impulse response
  • data mining
  • feature selection
  • error correction
  • electricity consumption