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Category Archives: stock market forecasting
Is two still the magic number?
When doing data analysis, we have come to regard two as the threshold that a t-statistic must clear in order to declare a variable statistically significant. As most readers will know, this critical value ensures a 5% level of significance given a … Continue reading
Posted in statistics, stock market forecasting
Tagged backtesting, data snooping, false discovery, stock market
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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
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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
Econometric Edge 