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arXiv · 2103.05921

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

Damien Challet·Christian Bongiorno·Guillaume Pelletier
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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.

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Damien Challet, Christian Bongiorno, Guillaume Pelletier. 2021-03-10. Financial factors selection with knockoffs: fund replication, explanatory and prediction networks. https://doi.org/10.1016/j.physa.2021.126105

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