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

Damien Challet, Christian Bongiorno and Guillaume Pelletier

Papers from arXiv.org

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: 2021-03
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http://arxiv.org/pdf/2103.05921 Latest version (application/pdf)

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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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