Description

Book Synopsis
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.

Table 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.

Causal Factor Investing

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    A Paperback by Marcos M. Lopez de Prado

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      Book details

      Publisher Cambridge University Press
      Published 11 September 2023
      ISBN-13 9781009397292
      978-1009397292
      ISBN-10 100939729X
      Also in:
      Business, Finance & Law Finance and the finance industry

      Description

      Book Synopsis
      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.

      Table 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.

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