Prado, Marcos M. López de
Causal Factor Investing: Can Factor Investing Become Scientific? (Elements in Quantitative Finance)
- ISBN 13:
- 9781009397292
- author:
- Prado, Marcos M. López de
- format:
- Paperback
- publisher:
- Cambridge University Press
- language:
- English
- Publication Year:
- 2023
- Pages:
- 75
- Dimensions:
- 22.9 x 15.2 x 0.5 centimetres (0
- Genre:
- Business, Finance, General,
- Condition:
- New
- Availability:
- Item usually sent within 5 working days
Description
Causal Factor Investing Can Factor Investing Become Scientific? The factor investing literature is plagued by associational claims that fail to identify the underlying causal mechanisms. Without a clear causal theory, findings are often based on correlations rather than causation, leading to backtest overfitting and incorrect specification choices. This book tackles the issue of causal confusion in factor investing, distinguishing between type-A and type-B spurious claims. It proposes solutions with the potential to transform factor investing into a truly scientific discipline. By analyzing the current state of causal confusion, Marcos M. López de Prado offers a critical examination of the field and presents a path forward for advancing factor investing beyond its current limitations.
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