Technische Hochschule Mittelhessen, 35390, Gießen, Germany.
City, University of London, London, EC1V 0HB, UK.
Sci Rep. 2023 Mar 16;13(1):4394. doi: 10.1038/s41598-023-31441-x.
Correlations are ubiquitous in nature and their principled study is of paramount importance in scientific development. The seminal contributions from John Bell offer a framework for analyzing the correlations between the components of quantum mechanical systems and have instigated an experimental tradition which has recently culminated with the Nobel Prize in Physics (2022). In physics, Bell's framework allows the demonstration of the non-classical nature of quantum systems just from the analysis of the observed correlation patterns. Bell's ideas need not be restricted to physics. Our contribution is to show an example of a Bell approach, based on the insight that correlations can be broken down into a part due to common, ostensibly significant causes, and a part due to noise. We employ data from finance (price changes of securities) as an example to demonstrate our approach, highlighting several general applications: first, we demonstrate a new measure of association, informed by the assumed causal relationship between variables. Second, our framework can lead to streamlined Bell-type tests of widely employed models of association, which are in principle applicable to any discipline. In the area of finance, such models of association are Factor Models and the bivariate Gaussian model. Overall, we show that Bell's approach and the models we consider are applicable as general statistical techniques, without any domain specificity. We hope that our work will pave the way for extending our general understanding for how the structure of associations can be analyzed.
相关性在自然界中无处不在,对其进行原则性研究对于科学发展至关重要。约翰·贝尔(John Bell)的开创性贡献为分析量子力学系统各组成部分之间的相关性提供了一个框架,并引发了一个实验传统,该传统最近以 2022 年诺贝尔物理学奖(Nobel Prize in Physics)达到高潮。在物理学中,贝尔的框架允许仅从观察到的相关模式分析中证明量子系统的非经典性质。贝尔的思想不必仅限于物理学。我们的贡献是展示一个基于这样一种观点的贝尔方法的示例,即相关性可以分解为由于共同的、表面上重要的原因引起的部分和由于噪声引起的部分。我们以金融(证券价格变动)数据为例,演示了我们的方法,突出了几个一般应用:首先,我们展示了一种新的关联度量,该度量受变量之间假定因果关系的启发。其次,我们的框架可以简化广泛使用的关联模型的贝尔型检验,这些模型在原则上适用于任何学科。在金融领域,这些关联模型是因子模型和双变量高斯模型。总体而言,我们表明,贝尔的方法和我们考虑的模型可以作为一般统计技术应用,而无需任何领域特异性。我们希望我们的工作将为扩展我们对关联结构如何进行分析的一般理解铺平道路。