Causal factor investing : (Record no. 38520)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02312nam a2200373 i 4500 |
| 001 - CONTROL NUMBER | |
| control field | CR9781009397315 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | UkCbUP |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240508141514.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m|||||o||d|||||||| |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr|||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 221223s2023||||enk o ||1 0|eng|d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781009397315 (ebook) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781009397292 (paperback) |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | UkCbUP |
| Language of cataloging | eng |
| Description conventions | rda |
| Transcribing agency | UkCbUP |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG4521 |
| Item number | .L819 2023 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.6 |
| Edition number | 23/eng/20230824 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | López de Prado, Marcos Mailoc, |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Causal factor investing : |
| Remainder of title | can factor investing become scientific? / |
| Statement of responsibility, etc. | Marcos M. López de Prado, ADIA Lab. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Cambridge, United Kingdom ; New York, NY : |
| Name of producer, publisher, distributor, manufacturer | Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2023. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (81 pages) : |
| Other physical details | digital, PDF file(s). |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Cambridge elements. Elements in quantitative finance, |
| International Standard Serial Number | 2631-8571 |
| 500 ## - GENERAL NOTE | |
| General note | Open Access |
| 500 ## - GENERAL NOTE | |
| General note | Title from publisher's bibliographic system (viewed on 12 Oct 2023). |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Virtually all journal articles in the factor investing literature make associational claims, instead of causal claims. 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Investments. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Asset allocation. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Portfolio management. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| International Standard Book Number | 9781009397292 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Cambridge elements. Elements in quantitative finance, |
| International Standard Serial Number | 2631-8571. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1017/9781009397315">https://doi.org/10.1017/9781009397315</a> |
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