Financial factors selection with knockoffs: fund replication, explanatory and prediction networks - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

Financial factors selection with knockoffs: fund replication, explanatory and prediction networks

(1) , (1) , (2)
1
2

Abstract

We apply the knockoff procedure to factor selection in finance. By building fake but realistic factors, this procedure makes it possible to control the fraction of false discovery in a given set of factors. To show its versatility, we apply it to fund replication and to the inference of explanatory and prediction networks.

Dates and versions

hal-03165842 , version 1 (11-03-2021)

Identifiers

Cite

Damien Challet, Christian Bongiorno, Guillaume Pelletier. Financial factors selection with knockoffs: fund replication, explanatory and prediction networks. 2021. ⟨hal-03165842⟩
45 View
0 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More