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Journal Articles Physica A: Statistical Mechanics and its Applications Year : 2021

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

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.
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Dates and versions

hal-03165842 , version 1 (02-08-2023)

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Attribution - NonCommercial

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Damien Challet, Christian Bongiorno, Guillaume Pelletier. Financial factors selection with knockoffs: fund replication, explanatory and prediction networks. Physica A: Statistical Mechanics and its Applications, 2021, 580, pp.126105. ⟨10.1016/j.physa.2021.126105⟩. ⟨hal-03165842⟩
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