Related papers: Rethinking Beta: A Causal Take on CAPM

Causal discovery can be a powerful tool for investigating causality when a system can be observed but is inaccessible to experiments in practice. Despite this, it is rarely used in any scientific or medical fields. One of the major hurdles…

We introduce Causal Computational Asymmetry (CCA), a principle for causal direction identification based on optimization dynamics in which one neural network is trained to predict $Y$ from $X$ and another to predict $X$ from $Y$, and the…

We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical…

We investigate the asymptotic properties of Bayesian bivariate causal discovery for Gaussian Linear Structural Equation Models (SEMs) with heteroscedastic noise. We demonstrate that with purely observational data, the posterior distribution…

Mechanistic interpretability aims to reverse engineer neural networks by uncovering which high-level algorithms they implement. Causal abstraction provides a precise notion of when a network implements an algorithm, i.e., a causal model of…

This paper investigates the robustness of causal bandits (CBs) in the face of temporal model fluctuations. This setting deviates from the existing literature's widely-adopted assumption of constant causal models. The focus is on causal…

The aim of this paper is to make clear and precise the relationship between the Rubin causal model (RCM) and structural causal model (SCM) frameworks for causal inference. Adopting a neutral logical perspective, and drawing on previous…

Interpretability research on large language models (LLMs) has yielded important insights into model behaviour, yet recurring pitfalls persist: findings that do not generalise, and causal interpretations that outrun the evidence. Our…

We develop a method to decompose causal effects on a social network into an indirect effect mediated by the network, and a direct effect independent of the social network. To handle the complexity of network structures, we assume that…

Causal graphical models can encode large amounts structural knowledge, both from the background knowledge of domain experts and the structural knowledge discovered from randomized experiments or observational data. However, though we may…

Causal discovery from observational data is fundamental to scientific fields like biology, where controlled experiments are often impractical. However, existing methods, including constraint-based (e.g., PC, causalMGM) and score-based…

We propose a formal model for counterfactual estimation with unobserved confounding in "data-rich" settings, i.e., where there are a large number of units and a large number of measurements per unit. Our model provides a bridge between the…

In the realm of stock prediction, machine learning models encounter considerable obstacles due to the inherent low signal-to-noise ratio and the nonstationary nature of financial markets. These challenges often result in spurious…

The main goal of this paper is an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal CAPM model we built a general sampling model suitable in…

Portfolio optimization is increasingly argued to require causally identified return predictors to avoid signal inversion and optimization failure. This paper re-examines this claim by studying when predictive signals yield viable efficient…

In contrast to problems of interference in (exogenous) treatments, models of interference in unit-specific (endogenous) outcomes do not usually produce a reduced-form representation where outcomes depend on other units' treatment status…

This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta…

Concept Bottleneck Models (CBMs) enhance the interpretability of end-to-end neural networks by introducing a layer of concepts and predicting the class label from the concept predictions. A key property of CBMs is that they support…

A trained neural network can be interpreted as a structural causal model (SCM) that provides the effect of changing input variables on the model's output. However, if training data contains both causal and correlational relationships, a…

Analog-mixed-signal (AMS) circuits are highly non-linear and operate on continuous real-world signals, making them far more difficult to model with data-driven AI than digital blocks. To close the gap between structured design data (device…