Towards Causal Market Simulators
迈向因果市场模拟器AI 解读 ↓
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Market generators using deep generative models have shown promise for synthetic financial data generation, but existing approaches lack causal reasoning capabilities essential for counterfactual analysis and risk assessment. We propose a Time-series Neural Causal Model VAE (TNCM-VAE) that combines variational autoencoders with structural causal models to generate counterfactual financial time series while preserving both temporal dependencies and causal relationships. Our approach enforces causal constraints through directed acyclic graphs in the decoder architecture and employs the causal Wasserstein distance for training. We validate our method on synthetic autoregressive models inspired by the Ornstein-Uhlenbeck process, demonstrating superior performance in counterfactual probability estimation with L1 distances as low as 0.03-0.10 compared to ground truth. The model enables financial stress testing, scenario analysis, and enhanced backtesting by generating plausible counterfactual market trajectories that respect underlying causal mechanisms.
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We propose a nonparametric and time-varying directed information graph (TV-DIG) framework to estimate the evolving causal structure in time series networks, thereby addressing the limitations of traditional econometric models in capturing high-dimensional, nonlinear, and time-varying interconnections among series. This framework employs an information-theoretic measure rooted in a generalized version of Granger-causality, which is applicable to both linear and nonlinear…
多尺度因果结构学习
The inference of causal structures from observed data plays a key role in unveiling the underlying dynamics of the system. This paper exposes a novel method, named Multiscale-Causal Structure Learning (MS-CASTLE), to estimate the structure of linear causal relationships occurring at different time scales. Differently from existing approaches, MS-CASTLE takes explicitly into account instantaneous and lagged inter-relations between multiple time series, represented at…
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极端事件中的格兰杰因果关系
We introduce a rigorous mathematical framework for Granger causality in extremes, designed to identify causal links from extreme events in time series. Granger causality plays a pivotal role in uncovering directional relationships among time-varying variables. While this notion gains heightened importance during extreme and highly volatile periods, state-of-the-art methods primarily focus on causality within the body of the distribution, often overlooking causal mechanisms…
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This paper investigates the estimation of the double autoregressive (DAR) model in the presence of skewed and heavy-tailed innovations. We propose a novel Normal Mixture Quasi-Maximum Likelihood Estimation (NM-QMLE) method to address the limitations of conventional quasi-maximum likelihood estimation (QMLE) under non-Gaussian conditions. By incorporating a normal mixture distribution into the quasi-likelihood framework, NM-QMLE effectively captures both heavy-tailed behavior…
动态系统性风险测度的多元推断
This paper provides statistical inference for marginal expected shortfall (MES) and delta conditional value-at-risk (ΔCoVaR) measures, which are semiparametrically estimated by a two-step procedure in a multivariate GARCH-type framework. We establish the asymptotic properties of corresponding estimators and illustrate how the estimation uncertainty can be decomposed into dynamic univariate marginal and time-varying dependence components. Our methodology reveals good finite…