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7
votes
1answer
455 views

How to better understand trading signals?

I am looking to get a better understanding of an output from a trading strategy. Basically I have a daily equity curve lets call it $Y_t$. I have defined a bunch of independent variables $X_{it}$ that ...
-3
votes
1answer
1k views

Is there a piratebay for data(bases)? (here, talking about historical financial data) [closed]

I would like to, for example, access (and later, upload), for example, historical financial data for the S&P500. If a piratebay for databases existed, maybe we could freely share information that ...
0
votes
1answer
55 views

list of ADR's by volume or market cap

I'm looking for a list of ADR's (for a simulation) that I can screen by either market cap or volume? If anyone knows of a free way to get such a list it would be much appreciated.
1
vote
0answers
26 views

Finding criteria for a household financial budget falsification

I’m working on a financial problem about budget of households. Households in a state fill a form about their net budget in every year and our insurance company investigate their financial status and ...
29
votes
6answers
4k views

Which approach dominates? Mathematical modeling or data mining?

According to my current understanding, there is a clear difference between data mining and mathematical modeling. Data mining methods treat systems (e.g., financial markets) as a "black box". The ...
7
votes
0answers
364 views

Can we use White's reality check to compare two Sharpe ratios?

I read a paper from Ledoit and Wolf that proposes a method to compare two Sharpe ratios and a paper from White that proposes a method to compare $n$ trading rules. My question is: Can we use White's ...
12
votes
3answers
1k views

How to encode trading strategies mathematically

If you have a bunch of different econometric data (e.g. indexes, FX, commodities, interest rates...) you can try to find a formula to see if there is any relationship in the data - e.g. to forecast ...