Causal Factor Investing - Can Factor Investing Become Scientific?

"Virtually all journal articles in the factor investing literature make associational claims, instead of causal claims. This Element analyzes the current state of causal confusion and proposes solutions with the potential to transform factor investing into a truly scientific discipline. This title is also available as Open Access on Cambridge Core"--

List of contents

1. Introduction; 2. Association vs. Causation; 3. The Three Steps of Scientific Discovery; 4. Causal Inference; 5. Causality in Econometrics; 6. Causality in Factor Investing; 7. Monte Carlo Experiments; 8. Conclusions; Appendix.

Summary

Virtually all journal articles in the factor investing literature make associational claims, instead of causal claims. This Element analyzes the current state of causal confusion and proposes solutions with the potential to transform factor investing into a truly scientific discipline. This title is also available as Open Access on Cambridge Core.

Foreword

Analyzes the current state of causal confusion in the factor investing literature, and proposes solutions.

Product details

• Authors: Marcos M Lopez de Prado, Marcos M. (Abu Dhabi Investment Au Lopez De Prado, Marcos M. (Adia Lab) Lopez De Prado, Marcos M. López de Prado
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Paperback / Softback
• Released: 30.11.2023
• EAN: 9781009397292
• ISBN: 978-1-0-0939729-2
• No. of pages: 75
• Series: Elements in Quantitative Finance
• Subjects: Social sciences, law, business > Business > General, dictionaries; Finance, BUSINESS & ECONOMICS / Finance / General, Finance and the finance industry