Week 4: Thursday 6th April, 17.30 GMT

A session at Online Workshop: Algorithmic Trading Strategies

Thursday 6th April, 2017

5:30pm to 9:00pm

Overfitting, Data snooping, and Rehash

Data snooping, P-Hacking and Bad Science

Data snooping
Type I vs Type II errors
Snooping outcome - Bad models. Poor OOS performance
P-hacking and non-reproducible results
Irreproducibility crisis in science
Overfitting in finance
Standard fixes - Train/Test/Holdout
Holdout overfitting, Kaggle competitions
Multiple testing methodsData snooping and (Robust) Machine Learning
P-value adjustments
Tests of Data snooping
Various other studies / tests
Preventing data-snooping in practice

Key take-aways
Role of Machine Learning / Big Data
Designing your own strategies
Doing active research
Next steps

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Time 5:30pm9:00pm UTC

Date Thu 6th April 2017

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