This is a summary of links featured on Quantocracy on Friday, 06/02/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
In-Sample vs. Out-Of-Sample Analysis of Trading Strategies [Quantpedia]Science has been in a replication crisis for more than a decade. Researchers have discovered, over and over, that lots of findings in fields like psychology, sociology, medicine, and economics dont hold up when other researchers try to replicate them. There are many interesting questions of philosophy of science, for example: Is the problem just that we test for statistical
Negative Screening and the Sin Premium [Alpha Architect]Negative exclusionary screening refers to an investment strategy in which socially controversial firms in particular sectors are excluded from the portfolio. The Global Sustainable Investment Review reports that, in 2020, more than $15 trillion (43% of total sustainable investments) were invested using negative screening. The most common negative screen employed is excluding sin stocks, a