Errata for Navigating the Factor Zoo: The Science of Quantitative Investing

Overview

This document captures all verified printing and content errors identified in _Navigating the Factor Zoo: The Science of Quantitative Investing_. It is maintained in the Fire Institute GitHub repository (https://github.com/fire-institute/fire) under docs/docs/errata.md.

Structure of Entries

Each erratum follows this format:

Field Description
Anchor Unique Markdown heading used as the link target.
Original Verbatim the incorrect text, caption, or equation.
Correction The accurate replacement text, caption, or equation.
Note (Optional) Additional context or explanation.

Submitting a New Error Report

To contribute:

  1. Search existing GitHub issues to avoid duplicates.
  2. Open a new issue with the title: 
    [Errata] Page <number> – brief description
  3. Fill in the template in the issue body: 
    **Page**:  
**Section or Heading**:  
**Original**:  
**Correction**:
  4. A maintainer will review, label it confirmed, and then add it here.

Table of Content

First Edition — Routledge (Hardcover & Paperback)

  • Publisher: Routledge
  • Publication Date: November 20, 2024 (Hardcover) / December 9, 2024 (Paperback)
  • Formats: Hardcover (296 pp.) / Paperback (310 pp.)
  • ISBN-10: 1032768436 (HC) / 103276841X (PB)
  • ISBN-13: 978-1032768434 (HC) / 978-1032768410 (PB)

Page 66 – Equation 3.19

Original

In the limit of $n \rightarrow \infty$，$R V_{t}^{+} \rightarrow \text{ }{t-1}^{t} \sigma{s}^{2} ds+\sum_{t-1 \leq \tau \leq t} J_{\tau J_{\tau}>0 }^{2} $, $ R V_{t}^{-} \rightarrow \int_{t-1}^{t} \sum_{s}^{2} d s+\sum_{t-1 \leq \tau \leq t} J_{\tau J_{\tau}0 }^{2} $, and,

\[S J_{t}=\sum_{t-1 \leq \tau \leq t} J_{\tau J_{\tau}>0 }^{2} -\sum_{t-1 \leq \tau \leq t} J_{\tau J_{\tau} 0}^{2}\]

Correction

In the limit of $n\to \infty$, $RV_t^+ \to \int {t- 1}^t\sigma _s^2ds+ \sum{t- 1\leq \tau \leq t}J_\tau^2 \mathbb{I} {J\tau > 0}$, $RV_t^- \to \int_{t- 1}^t \sigma_s^2 ds + \sum_{t-1\leq\tau\leq t}J_\tau^2\mathbb{I}{J\tau<0} $, and,

\[SJ_t = \sum_{t- 1\leq \tau \leq t}J_\tau^2 \mathbb{I} _{J_\tau > 0}-\sum_{t-1\leq\tau\leq t}J_\tau^2\mathbb{I}_{J_\tau<0}.\]

Note

Inserted the missing integral symbol, properly representing the continuous term as $\int_{t-1}^t\sigma_s^2\,ds$. Replaced the ambiguous jump‐index notation with indicator functions $\mathbb{I}{J\tau>0}$ and $\mathbb{I}{J\tau<0}$ to clearly separate positive and negative jumps.