You’ve constructed a model and are getting significant p-values. Everything looks good, but then your algorithm starts losing money. Sometimes the ways that models are constructed can lead to a complete breakdown in the statistics used to evaluate them. We will show some common cases of this and discuss warning signs.
The lecture will be presented at this meetup. We will be releasing a video lecture as well, watch this thread for a link.
Also in this lecture:
This is part of Quantopian’s Summer Lecture Series. We are currently developing a quant finance curriculum and will be releasing clone-able notebooks and algorithms to teach key concepts. Stay tuned for more. We are also working on a permanent home for all of our notebooks.
Credit for the notebooks goes to Evgenia 'Jenny' Nitishinskaya, and credit for the algorithms goes to David Edwards.