On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors
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Abstract (arXiv)
Financial data is generally time series in essence and thus suffers from three fundamental issues: the mismatch in time resolution, the time-varying property of the distribution - nonstationarity, and causal factors that are important but unknown/unobserved. In this paper, we follow a causal perspective to systematically look into these three demons in finance. Specifically, we reexamine these issues in the context of causality, which gives rise to a novel and inspiring understanding of how the issues can be addressed. Following this perspective, we provide systematic solutions to these problems, which hopefully would serve as a foundation for future research in the area.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). Builds on 12 of its 64 references that are in the map. First posted on arXiv 28 Dec 2023.
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12 of 64 references.
References · 12
- 2020Learning under Concept Drift: A Reviewcited by 477
- 2013Causal Inference in the Presence of Latent Variables and Selection Biascited by 166
- 2019Causal Discovery from Heterogeneous/Nonstationary Data with Independent Changescited by 166
- 2021Learning latent causal graphs via mixture oraclescited by 55
- 2022Latent Hierarchical Causal Structure Discovery with Rank Constraintscited by 51
- 2019Learning Linear Non-Gaussian Causal Models in the Presence of Latent Variablescited by 39
- 2022DDG-DA: Data Distribution Generation for Predictable Concept Drift Adaptationcited by 36
- 2023A Versatile Causal Discovery Framework to Allow Causally-Related Hidden Variablescited by 33
- 2021Recursive Causal Structure Learning in the Presence of Latent Variables and Selection Biascited by 29
- 2022Independence Testing-Based Approach to Causal Discovery under Measurement Error and Linear Non-Gaussian Modelscited by 13
- 2013Calculation of Entailed Rank Constraints in Partially Non-Linear and Cyclic Modelscited by 12
- 2015Discovery and Visualization of Nonstationary Causal Modelscited by 7
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