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Category Archives: machine learning
Data snooping in a nutshell
Data snooping is pervasive in financial research, both in academia and in industry. In my experience, the level of awareness about data snooping varies widely among practitioners. All too often, however, huge amounts of time and effort are wasted by following a … Continue reading
Posted in machine learning, stock market forecasting
Tagged backtesting, data snooping, false discovery
1 Comment
Is out-of-sample testing of forecasting models a myth?
When working with forecasting models, a well-known observation is that in-sample performance is usually better, often much better, than out-of-sample performance. That is, a model generally produces better forecasts over the data that it was constructed on than over new data. … Continue reading
Posted in machine learning, stock market
Tagged cross validation, out-of-sample, overfitting
1 Comment
Big Data and Economics
Lorie and Fisher. Big Data circa 1960. For much of its history as a discipline, economics has been trapped in a Small Data paradigm. Macroeconomists analyzed output and inflation using annual or quarterly data spanning several decades at best. Microeconomic … Continue reading
Econometric Edge 