Articles liés à Causal Machine Learning for Alpha Decay Detection

Causal Machine Learning for Alpha Decay Detection - Couverture souple

Lekbir, Djamel

 
9798235790711: Causal Machine Learning for Alpha Decay Detection
Couverture souple
ISBN 13 : 9798235790711
Editeur : Djamel Lekbir, 2026

Synopsis

Causal Machine Learning for Alpha Decay Detection presents a rigorous framework for applying causal machine learning to one of the central challenges in quantitative finance: determining whether an apparent source of investment alpha represents a genuine, persistent causal effect-or merely a transient correlation that eventually disappears. Financial markets generate enormous volumes of high-dimensional data, yet conventional predictive models can struggle to distinguish genuine economic relationships from spurious patterns, regime-dependent effects, and statistical noise. This book approaches the problem from a causal perspective, combining modern machine-learning techniques with econometric principles to investigate why alpha emerges, when it decays, and how its persistence can be evaluated systematically. The book develops and connects several advanced methodologies, including Honest Causal Forests, Double Machine Learning (DML), and Targeted Maximum Likelihood Estimation (TMLE). These methods provide complementary tools for estimating heterogeneous treatment effects, controlling for high-dimensional confounding, and obtaining robust causal estimates. Particular attention is given to alpha decay detection: identifying changes in the causal effectiveness of signals over time, distinguishing structural deterioration from temporary market fluctuations, and developing evidence-based criteria for determining whether a strategy remains economically meaningful. Designed for researchers, quantitative analysts, financial engineers, data scientists, and advanced students, the book bridges causal inference, machine learning, and quantitative finance. Its objective is not simply to predict market outcomes, but to move from prediction toward explanation-providing a methodological foundation for understanding what truly works, why it works, and when it stops working.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Djamel Lekbir
Date d'édition
2026
Langue
anglais
ISBN 13 
9798235790711
Reliure
Taschenbuch
Nombre de pages
106
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

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