Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region. This paper presents financial markets as metastable systems and shows that, under this assumption, financial time series evolve as hidden Markov models. In special, we propose a theory that outlines an explicit causal relation between a financial market and the evolution of a financial time series. In the context of financial economics and causal factor investment, this theory introduces a paradigm shift, suggesting that investment performance fluctuations are primarily driven by the market state rather than direct causation by other variables. While not incompatible with traditional causal inference, our approach addresses the non-stationary evolution of time series through changes in market states, enhancing risk assessment and enabling mitigation strategies.

翻译：亚稳态是一种在随机系统中观察到的现象，系统在其状态空间的一个区域内维持虚假均衡，直到一系列罕见事件的发生导致其向不同区域发生突变。本文将金融市场呈现为亚稳态系统，并证明在此假设下，金融时间序列以隐马尔可夫模型的形式演化。特别地，我们提出了一种理论，概述了金融市场与金融时间序列演化之间的显式因果关系。在金融经济学和因果因子投资的背景下，该理论引入了一种范式转变，表明投资绩效波动主要由市场状态驱动，而非其他变量的直接因果关系。虽然与传统因果推断不矛盾，但我们的方法通过市场状态的变化解决了时间序列的非平稳演化问题，增强了风险评估并启用了缓解策略。