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TFG_Freixa_Mana_Lucas.pdf (1.72 MB)

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Bachelor thesis

Publication date

2025-06-10

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cc-by-nc-nd (c) Lucas Freixa Maña, 2025
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/227330

An Introduction to Causal Inference: Concepts and an Application in Financial Extremes

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Abstract

This thesis introduces the foundations of causal inference, covering counterfactuals, identification assumptions, and causal graphs to distinguish causation from association. It then extends causal analysis to extreme events, combining Granger causality with tail‑based methods that remain robust to hidden confounding. Finally, these techniques are applied to real financial data—cryptocurrencies and S&P 500 companies—revealing causal relationships that emerge specifically during extreme market movements.

Description

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2025, Director: Aleix Ruiz de Villa Robert i Josep Vives i Santa Eulàlia

Subject

Anàlisi de sèries temporals, Econometria, Estadística matemàtica, Correlació (Estadística), Estadística financera, Lucas Freixa Maña, Treballs de fi de grau

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Time-series analysis, Econometrics, Mathematical statistics, Correlation (Statistics), Financial statistics, Bachelor's theses

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Treballs Finals de Grau (TFG) - Matemàtiques

Citation

FREIXA MAÑA, Lucas. An Introduction to Causal Inference: Concepts and an Application in Financial Extremes. [consulted: 13 of June of 2026]. Available at: https://hdl.handle.net/2445/227330

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