This is a summary of links featured on Quantocracy on Friday, 03/03/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
More Data or Fewer Predictors: Which is a Better Cure for Overfitting? [EP Chan]One of the perennial problems in building trading models is the spareness of data and the attendant danger of overfitting. Fortunately, there are systematic methods of dealing with both ends of the problem. These methods are well-known in machine learning, though most traditional machine learning applications have a lot more data than we traders are used to. (E.g. Google used 10 million YouTube
-
Evidence-Based Investing? Take that Alpha and Shove It. [Alpha Architect]Johnny Paycheck has a great country song centered around the following lyric: Take this job and shove itI aint working here no more Campell Harvey, in the 2017 AFA Presidential Address, elaborates an analogous comment on the current state of the financial economics field: Take this alpha and shove itI aint publishing this research no more Prof. Harvey is rightly concerned that
-
Using Time-Series Momentum to Intentionally Miss the Best Months. Yes, Really. [Invest Resolve]The buy-and-hold crowd, including many mutual fund companies and a large cross-section of vocal pundits, like to talk about how missing the N best days/months in the market causes a serious impairment to long-term investor returns. What they fail to mention is that, because stock market volatility clusters during periods of market crisis, the best daily and monthly stock market returns are