Blue pill or red pill? Common myths in quantitative strategy research (326 downloads)
Author: Katula Lamperouge
Keywords: quantitative research, common mistakes, overfitting, forward looking bias, selection bias, price reliability, transaction cost
Abstract: Quantitative signal research has been one of the most challenging missions in finance, for mistakes are easily made and rewards are scarce. The Pareto Principle of accumulated advantage applies well in the asset management industry as any other fields, if not more so. What are the common myths researchers encounter? How do experienced portfolio managers tackle these problems? We present typical myths in trading signal explorations, discuss why they come into being and point out potential solutions for those interested.