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Incorporation of causality structures to complex network analysis of time-varying behaviour of multivariate time series

Carlos-Sandberg, L; Clack, CD; (2021) Incorporation of causality structures to complex network analysis of time-varying behaviour of multivariate time series. Scientific Reports , 11 (1) , Article 18880. 10.1038/s41598-021-97741-2. Green open access

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Abstract

This paper presents a new methodology for characterising the evolving behaviour of the time-varying causality between multivariate time series, from the perspective of change in the structure of the causality pattern. We propose that such evolutionary behaviour should be tracked by means of a complex network whose nodes are causality patterns and edges are transitions between those patterns of causality. In our new methodology each edge has a weight that includes the frequency of the given transition and two metrics relating to the gross and net structural change in causality pattern, which we call [Formula: see text] and [Formula: see text]. To characterise aspects of the behaviour within this network, five approaches are presented and motivated. To act as a demonstration of this methodology an application of sample data from the international oil market is presented. This example illustrates how our new methodology is able to extract information about evolving causality behaviour. For example, it reveals non-random time-varying behaviour that favours transitions resulting in predominantly similar causality patterns, and it discovers clustering of similar causality patterns and some transitional behaviour between these clusters. The example illustrates how our new methodology supports the inference that the evolution of causality in the system is related to the addition or removal of a few causality links, primarily keeping a similar causality pattern, and that the evolution is not related to some other measure such as the overall number of causality links.

Type: Article
Title: Incorporation of causality structures to complex network analysis of time-varying behaviour of multivariate time series
Location: England
Open access status: An open access version is available from UCL Discovery
DOI: 10.1038/s41598-021-97741-2
Publisher version: https://doi.org/10.1038/s41598-021-97741-2
Language: English
Additional information: Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
Keywords: Complex networks, Nonlinear phenomena
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10135790
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