Collected Slides¶
These downloads contain complete slide sets from the course split into two parts. The first covers material related to data snooping bias and multiple testing in the context of technical trading. The second covers forecasting methodologies that are suitable with large number of predictors.
- Technical Trading: Fools Gold? Forecast Evaluation with Many Predictions
- Forecasting with Many Predictors
Syllabus¶
Assessments¶
- Assignment 1
- Assignment 1 Data - Note - You will need the password distributed in the course email to open the Excel file in this zip.
- Assignment 2
- Assignment 2 Data
Course Material¶
Week 1¶
| Week | Presentation | Handout | Markup |
|---|---|---|---|
| 1 | Presentation | Handout | Markup |
| 2 | Presentation | Handout | Markup |
| 3 | Presentation | Handout | Markup |
| 4 | Presentation | Handout | Lecture 4 Demonstration |
| 5 | Presentation | Handout | Markup |
| 6 | Presentation | Handout | Markup |
| 7 | Presentation | Handout | Markup |
| 8 | Presentation | Handout | Markup |
Readings¶
Week 1¶
- Chernick Ch 2
- Chernick Ch 3
- Chernick Ch 4 and 5
- Lahiri Chs 2 and 7
- Politis and White
- Patton, Politis and White
- Kreiss and Lahiri
Week 2¶
- Brown & Jennings (1989)
- Brock, Lakonishok & LeBaron (1992)
- Blume, Easley & O’Hara (1994)
- Sullivan, Timmermann & White (1999)
- Lo, Mamaysky & Wang (2000)
- Neely, Rapach, Tu & Zhou (2010)
- Han, Yang & Zhou (2010)
- Bajgrowicz & Scaillet (2012)
Week 3¶
Week 4¶
Week 8¶
- Reduced Rank Regression Demonstration Code - Shows how to compute reduced rank regression and the spectral version of regularized reduced rank regression in simulated data.