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

Damien Challet, Christian Bongiorno () and Guillaume Pelletier
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Christian Bongiorno: MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay
Guillaume Pelletier: BNP-Paribas

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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.

Date: 2021-10
Note: View the original document on HAL open archive server: https://centralesupelec.hal.science/hal-03165842
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Published in Physica A: Statistical Mechanics and its Applications, 2021, 580, pp.126105. ⟨10.1016/j.physa.2021.126105⟩

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Journal Article: Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks (2021)
Working Paper: Financial factors selection with knockoffs: fund replication, explanatory and prediction networks (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03165842

DOI: 10.1016/j.physa.2021.126105

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