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

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.
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https://hal-centralesupelec.archives-ouvertes.fr/hal-03165842
Contributor : Christian Bongiorno Connect in order to contact the contributor
Submitted on : Thursday, March 11, 2021 - 6:18:08 AM
Last modification on : Tuesday, December 14, 2021 - 3:01:59 AM

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  • HAL Id : hal-03165842, version 1
  • ARXIV : 2103.05921

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

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