Amortized Interventional Forecasting for Multivariate CIR Processes
Mean-reverting dynamics are pervasive in finance, and the Cox--Ingersoll--Ross (CIR) process is a standard model for the time series they produce, from short rates to credit default swap (CDS) spreads. Yet CIR models capture only \emph{correlated} co-movement, not \emph{causal} influence between series, so they cannot answer the system's response when one series is externally shocked, which observational conditionals confound with historical co-movement. We make two contributions. First, an amortized model for distributional causal effect estimation that frames trajectories as time-stamped observations and predicts the calibrated multi-horizon shock response without retraining per scenari...
| Authors | Andreas Sauter, Sumit Sourabh, Drona Kandhai et al. |
|---|---|
| Primary category | cs.LG |
| Published | 4 August 2026 |
| Last updated at source | 4 August 2026 |
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