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Causal Factor Investing: Can Factor Investing Become...

Causal Factor Investing: Can Factor Investing Become Scientific?

López de Prado, Marcos M.
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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.
年:
2023
出版社:
Cambridge University Press
语言:
english
页:
75
ISBN 10:
1009397303
ISBN 13:
9781009397308
系列:
Elements in Quantitative Finance
文件:
PDF, 3.08 MB
IPFS:
CID , CID Blake2b
english, 2023
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