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Category Archives: stock market
Noise in asset returns
One of the goals of this blog is to discuss various approaches to forecasting asset returns taken from both the economics and machine learning fields. Before diving into specific models and techniques, however, I begin by discussing the issue of noise in … Continue reading
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
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Econometric Edge 