meta user
network profile
| bio | website | |
|---|---|---|
| location | Paris | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Mar 24 at 22:33 | |
| stats | profile views | 110 |
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Feb 4 |
awarded | Scholar |
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Feb 4 |
asked | Is there a way to estimate (predict) the half life of a quantitative trading system? |
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Feb 4 |
comment |
What are the key risks to the quantitative strategy development process? This is a very good moto I think. Do you know any documentation on this? |
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Feb 4 |
answered | How useful is Markov chain Monte Carlo for quantitative finance? |
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Feb 3 |
comment |
What are the key risks to the quantitative strategy development process? The half life is in fact a big problem to me. Is there any way to estimate it? (even roughly) |
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Feb 3 |
comment |
What are the popular methodologies to minimize data snooping? Yes I maybe wrong but I view these problems as close but yet different. Well if we try to find the best parameters (with maximum likehood, MSE, MAP) and actually fit the predicted time serie to noise instead of real "structure" or "pattern", we have overfitted. In the contest of backtesting I see the data snooping as the bias we introduce when looking for different rules untill we find a working one. |
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Feb 3 |
awarded | Teacher |
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Feb 3 |
comment |
What are the popular methodologies to minimize data snooping? I think that even if one can completly cancel the data snooping bias that wouldn't cancel the variance between backtested and true results. This is due to non stationarity and we cannot do anything about that. Ok for the comments |
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Feb 3 |
answered | What are the popular methodologies to minimize data snooping? |
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Feb 3 |
awarded | Supporter |
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Feb 3 |
comment |
What are the popular methodologies to minimize data snooping? I'm not sure what you mean by "tweak the parameters". What I do is look at the robustness of the strategy by changing the parameters arround my prefered values. The problem with this approach is that it is difficult to build a proper quatitative test to reject or not the strategies robustness. What is the size of the radius of the hypersphere arround the prefered value one has to look at? What performance variation should we tolerate? At the end it is almost just how you feel about it. I believe that to be dangerous in quant trading. |
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Feb 3 |
awarded | Student |
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Feb 3 |
asked | What are the popular methodologies to minimize data snooping? |
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Feb 2 |
answered | Is there any theoretical basis for pattern-recognition strategies? |
