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Causal Factor Investing_ Can Factor Investing Become Scientific By Marcos M Lopez De Prado PDF

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	Status:	All the torrents in this section have been verified by our verification system
Category:	eBooks
Infohash	5ba818fbc748f49f3a4612c626d3a334457f3651
Size:	2.8 MB in 3 files
Release Date(s):	Torrent Release: 27-02-2024 by user
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Causal Factor Investing: Can Factor Investing Become Scientific by Marcos M. Lopez de Prado PDF

Virtually all journal articles in the factor investing literature make associational claims, in denial of the causal content of factor models. 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.

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Filename		Size
	Causal Factor Investing_ Can Factor Investing Become Scientific by Marcos M. Lopez de Prado.pdf	2.8 MB
	_ free audiobook version.txt	884 B
	_ uploads will cease (your support needed - urgent - monthly goal).txt	615 B

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