Search Results for author: Sathyamoorthy Rajendran

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

no code implementations28 Dec 2023 Xinshuai Dong, Haoyue Dai, Yewen Fan, Songyao Jin, Sathyamoorthy Rajendran, Kun Zhang

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.

Time Series

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