Finding people skilled in both Econometrics and Causal Inference isn’t easy. But these fields have a lot in common, and understanding both can really expand your perspective and skills. Here are some individuals worth checking out if you’re interested in this intersection: Marcos Lopez de Prado – Has extensive experience with Econometrics and Causal Inference in financial markets and shares his insights through scientific papers and books like Causal Factor Investing: Can Factor Investing Become Scientific? Joshua D. Angrist & Jörn-Steffen Pischke – Well-known econometricians who are highly knowledgeable about advancements in causal inference and how they connect to econometrics. They take this into account in the way they teach, apply, and discuss econometric methodology. Nick Huntington-Klein – Assistant professor of Economics at Seattle University, working in econometrics, causal inference, and higher education policy. He has a great ability to make technical concepts more digestible and shares a lot of free content, including his book The Effect: An Introduction to Research Design and Causality (theeffectbook.net). #Econometrics #CausalInference
Head of Quantitative Analysis @ Miraltabank
13hA causal interactions indicator between two time series using extreme variations in the first eigenvalue of lagged correlation matrices: https://www.aimspress.com/article/doi/10.3934/DSFE.2024018 Portfolio optimization based on neural networks sensitivities from assets dynamics respect common drivers: https://www.sciencedirect.com/science/article/pii/S2666827022001220 A Portfolio’s Common Causal Conditional Risk-Neutral PDE: https://link.springer.com/chapter/10.1007/978-3-031-64273-9_45 Geometric Spatial and Temporal Constraints in Dynamical Systems and Their Relation to Causal Interactions between Time Series: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4949383 CausAI