On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors
金融因果分析的三重难题:时间分辨率、非平稳性与潜在因素
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…