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

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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

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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.

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Treballs Finals de Grau (TFG) - Matemàtiques

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