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30
votes
6answers
5k 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 ...
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 ...
7
votes
1answer
472 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 ...
7
votes
0answers
370 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 ...
2
votes
1answer
49 views

White's Reality Check versus Benjamini-Hochberg-Yekutielie Procedure

I'm backtesting about 1k different strategies / permutations of strategies and I want to identify which if any of the strategies are better than the benchmark. Based on my readings, I feel like I've ...
1
vote
0answers
27 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 ...
0
votes
1answer
74 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.
-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 ...