Causal Factor Investing Book Reviews
Causal Factor Investing by Marcos M. López de Prado Book Summary
Virtually all journal articles in the factor investing literature make associational claims, in denial of the causal content of factor models. Authors do not identify the causal graph consistent with the observed phenomenon, they justify their chosen model specification in terms of correlations, and they do not propose experiments for falsifying causal mechanisms. Absent a causal theory, their findings are likely false, due to rampant backtest overfitting and incorrect specification choices. This Element differentiates between type-A and type-B spurious claims, and explains how both types prevent factor investing from advancing beyond its current phenomenological stage. It analyzes the current state of causal confusion in the factor investing literature, 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.
Book Name | Causal Factor Investing |
Genre | Finance |
Author | Marcos M. López de Prado |
Published | 09 November 2023, Thursday |
Language | English |
E-Book Size | 10.65 MB |
Causal Factor Investing (Marcos M. López de Prado) Book Reviews 2024
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Summary of Causal Factor Investing by Marcos M. López de Prado
The Causal Factor Investing book written by Marcos M. López de Prado was published on 09 November 2023, Thursday in the Finance category. A total of 178 readers of the book gave the book 0 points out of 5.
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