Post by Dr. Gueorgui S. Konstantinov, CAIA, FDP

Happy new year! 🚨 I am pleased to announce that our latest article „When Factors Collide: Mapping Causal Spillovers across Global Asset Networks“ coauthored with the living legend Frank Fabozzi has been officially published in The Journal of Portfolio Management. This is the first one of series of papers on #causal #network #interference under #treatment #effects. The major contribution of our paper is: Traditional causal research focus on #causal #inference, #linear #regressions, and/or use #A/B #testing which are less powerful and incomplete (often prone to errors) than the #probabilistic #modelling of direct, indirect, combined and zero effects, which we use. We apply Monte Carlo simulation engine, and achieve a high degree of #deductive rigor using #randomized controlled trial, Ricci curvature, and Entropy when measuring network causal effects.  #topology #homology #networks #graphtheory #bonds #factors #equities #hedgefunds #bondmarket #fixedincome #quant #quantitativefinance #quantitativeresearch #quantitativeanalysis #fxmarkets #fx #interestrates #portfoliomanagement #portfolioconstruction #investing #factormodels #factorinvesting #assetallocation #factorallocation #optimization #goodreads #goodbooks #machinelearning #investmentresearch #investmentmanagement #alternatives #riskmanagement #machinelearning #ai #artificialintelligence #variance #volatility #return #correlation #informationgeometry #transport #probabilitymodels #probabilisticthinking #montecarlo #simulation #ricci #curvature #entropy #inference https://lnkd.in/dd7Gwf3r Alexander Denev Aleksander Molak Joseph Simonian, Ph.D. Petter Kolm Andrew Chin Daniel Giamouridis Daniel LIEBAU Tony Guida Irene Aldridge Elias Bareinboim Dr. Eduard Baitinger Igor Halperin Chenyang Lian Hossein Kazemi, PhD, CFA Abalfazl Zareei, PhD Morten Bech Ergün Atalay Angelos Kanas Fabio Fais, CFA Dirk Heuser Henning Möller, CFA Andreas Hess, CFA Christoph Witzke, CFA Vito Ciciretti Marielle de Jong Christian Mueller-Glissmann Sandrine Ungari Argyro (Iro) Tasitsiomi, PhD Guido Baltussen Wai Lee Martin Huber DekaBank Portfolio Management Research