Any estimate comes with a degree of uncertainty, but often that uncertainty is ignored. This is incredibly dangerous in finance, as a wrong estimate can be the difference between steady gains and massive losses. This lecture will cover some problems with how estimates are often taken and discuss some ways to quantify the uncertainty.
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.