On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors
Abstrak
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.
Penulis (6)
Xinshuai Dong
Haoyue Dai
Yewen Fan
Songyao Jin
Sathyamoorthy Rajendran
Kun Zhang
Akses Cepat
- Tahun Terbit
- 2023
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓