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

03/10/2021

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by   Damien Challet, et al.

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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.