Financial factors selection with knockoffs: fund replication, explanatory and prediction networks
arXiv:2103.05921 · doi:10.1016/j.physa.2021.126105
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.