Causal factor investing : : can factor investing become scientific? / / Marcos M. López de Prado, ADIA Lab.
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 exp...
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Superior document: | Cambridge elements. Elements in quantitative finance, |
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VerfasserIn: | |
Place / Publishing House: | Cambridge, United Kingdom ; New York, NY : : Cambridge University Press,, 2023. |
Year of Publication: | 2023 |
Edition: | First edition. |
Language: | English |
Series: | Cambridge elements. Elements in quantitative finance,
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Physical Description: | 1 online resource (81 pages) :; digital, PDF file(s). |
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