I was just reading a funny book chapter: Nerds on Wall St

(Last Updated On: September 14, 2014)

I was just reading a funny book chapter: Nerds on Wall St

Here are some things I consider now, and I’m interested if you have others.

* the relationship makes sense
* parsimonious model / few parameters
* parameter values aren’t extreme (use regularization)
* start with a relationship in mind
* don’t try too many ways of improving the model
* check that it isn’t overly sensitive to parameter values
* hold a couple of years’ data out-of-sample for testing
* must work consistently over time/stocks/markets
* no black box, I need to see how decisions are being made
* many trade opportunities for increased statistical significance
* the distribution of returns looks reasonable

http://www.wilmott.com/messageview.cfm?catid=38&threadid=97417

From Sholom so thank to him

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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs