Li Lin

Structurally Regularized Causal Networks for High-Dimensional Financial Time Series: A STIC×PCMCI Framework

This paper proposes a structurally regularized causal network framework, denoted by STIC×PCMCI, for directional transmission identification and network-based signal construction in high-dimensional financial time series. The framework uses PCMCI to identify lagged causal relations under multivariate conditioning, while...