國立虎尾科技大學 |

Causal factor investing : = can factor investing become scientific? /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Causal factor investing :/ Marcos M. López de Prado, ADIA Lab.
其他題名:	can factor investing become scientific? /
作者:	López de Prado, Marcos Mailoc,
面頁冊數:	1 online resource (81 pages) :digital, PDF file(s). :
附註:	Open Access
標題:	Portfolio management. -
電子資源:	https://doi.org/10.1017/9781009397315
ISBN:	9781009397315 (ebook)

Causal factor investing : = can factor investing become scientific? /
López de Prado, Marcos Mailoc,

Causal factor investing :can factor investing become scientific? /Marcos M. López de Prado, ADIA Lab. - 1 online resource (81 pages) :digital, PDF file(s). - Cambridge elements. Elements in quantitative finance,2631-8571. - Cambridge elements. Elements in quantitative finance,.

Open Access

Virtually all journal articles in the factor investing literature make associational claims, instead of causal claims. Authors do not identify the causal graph consistent with the observed phenomenon, they justify their chosen model specification in terms of correlations, and they do not propose experiments for falsifying causal mechanisms. Absent a causal theory, their findings are likely false, due to rampant backtest overfitting and incorrect specification choices. This Element differentiates between type-A and type-B spurious claims, and explains how both types prevent factor investing from advancing beyond its current phenomenological stage. It analyzes the current state of causal confusion in the factor investing literature, and proposes solutions with the potential to transform factor investing into a truly scientific discipline. This title is also available as Open Access on Cambridge Core.

ISBN: 9781009397315 (ebook)Subjects--Topical Terms:

557690
Portfolio management.

LC Class. No.: HG4521 / .L819 2023

Dewey Class. No.: 332.6

Causal factor investing : = can factor investing become scientific? /
LDR:02048nam a2200301 i 4500 001 1125554
003 UkCbUP
005 20231017160930.0
006 m|||||o||d||||||||
007 cr||||||||||||
008 240926s2023||||enk o ||1 0|eng|d
020 $a 9781009397315 (ebook)
020 $z 9781009397292 (paperback)
035 $a CR9781009397315
040 $a UkCbUP $b eng $e rda $c UkCbUP
050 0 0 $a HG4521 $b .L819 2023
082 0 0 $a 332.6 $2 23/eng/20230824
100 1 $a López de Prado, Marcos Mailoc, $e author. $3 1442202
245 1 0 $a Causal factor investing : $b can factor investing become scientific? / $c Marcos M. López de Prado, ADIA Lab.
264 1 $a Cambridge, United Kingdom ; New York, NY : $b Cambridge University Press, $c 2023.
300 $a 1 online resource (81 pages) : $b digital, PDF file(s).
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
490 1 $a Cambridge elements. Elements in quantitative finance, $x 2631-8571
500 $a Open Access
500 $a Title from publisher's bibliographic system (viewed on 12 Oct 2023).
520 $a Virtually all journal articles in the factor investing literature make associational claims, instead of causal claims. Authors do not identify the causal graph consistent with the observed phenomenon, they justify their chosen model specification in terms of correlations, and they do not propose experiments for falsifying causal mechanisms. Absent a causal theory, their findings are likely false, due to rampant backtest overfitting and incorrect specification choices. This Element differentiates between type-A and type-B spurious claims, and explains how both types prevent factor investing from advancing beyond its current phenomenological stage. It analyzes the current state of causal confusion in the factor investing literature, and proposes solutions with the potential to transform factor investing into a truly scientific discipline. This title is also available as Open Access on Cambridge Core.
650 0 $a Portfolio management. $3 557690
650 0 $a Asset allocation. $3 564730
650 0 $a Investments. $3 557691
776 0 8 $i Print version: $z 9781009397292
830 0 $a Cambridge elements. Elements in quantitative finance, $x 2631-8571. $3 1443831
856 4 0 $u https://doi.org/10.1017/9781009397315