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Paper / 2023SMQ / 44948575957933
On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors
Haoyue Dai / Kun Zhang / Sathyamoorthy Rajendran / Songyao Jin / Xinshuai Dong / Yewen Fan
causal inference / time seriesResource overview

On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors

Paper2023

by Haoyue Dai, Kun Zhang, Sathyamoorthy Rajendran, Songyao Jin, Xinshuai Dong, Yewen Fan

Tags
causal inferencetime series

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Suggested foundations for financial time series. Specialist prerequisites vary by paper.

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  1. Stationarity and Unit Roots

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  2. Linear Regression

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  1. Cointegration and Error Correction

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  2. Regression Assumptions and Diagnostics

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