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  • 0 posts edited
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  • 225 votes cast
Feb
11
revised Statistical learning libraries
edited body
Feb
11
comment Statistical learning libraries
Ok, then i'll have to learn programming in R.
Feb
11
comment Statistical learning libraries
Thanks @Shane for the great answer. Isn't R much slower than C/C++?
Feb
11
asked Statistical learning libraries
Feb
8
comment What are the ensemble techniques to forecast returns?
Should I edit the question to make it about consensus forecast?
Feb
8
comment What are the ensemble techniques to forecast returns?
Thanks for the clarification.
Feb
8
asked What are the ensemble techniques to forecast returns?
Feb
7
awarded  Beta
Feb
7
awarded  Nice Question
Feb
7
accepted What are the popular methodologies to minimize data snooping?
Feb
4
awarded  Scholar
Feb
4
asked Is there a way to estimate (predict) the half life of a quantitative trading system?
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?
Feb
4
answered How useful is Markov chain Monte Carlo for quantitative finance?
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)
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.
Feb
3
awarded  Teacher
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
Feb
3
answered What are the popular methodologies to minimize data snooping?
Feb
3
awarded  Supporter