Statistics and Finance

mmport80 · Post by **mmport80** » Mon Mar 09, 2015 6:37 am

Hey Guys,

I picked a fight with someone on the quality of their research statistics.

(And then promptly apologised, and then decided to take a look in any case at http://mebfaber.com/timing-model/ - I am totally withholding judgement!!)

Basically I think because money is involved, there's a whole bunch of people doing 'research' that is utter rubbish; which means that stats in finance is even worse than other disciplines (that's a conjecture, I recently heard Taleb talk about biology, and that sounded terrible too).

In any case, does anyone have any juicy links about do's and don'ts for financial statistics? So I can blatantly plagiarise for my own blog post : )

mmport80 · Post by **mmport80** » Mon Mar 09, 2015 6:40 am

Here's the Twittering for context...

mmport80 · Post by **mmport80** » Mon Mar 09, 2015 6:40 am

https://twitter.com/mmport80/status/573669180408397824

goldorak · Post by **goldorak** » Mon Mar 09, 2015 8:36 am

Sorry, I have not read any of the twitter feed as I am just unable to read tweets. I am still trying to understand how normally built people do that.

BUT

Faber, the guy who wrote that piece of crap?

A Quantitative Approach to Tactical Asset Allocation

Here I am having a good laugh... He was on the NYSE floor ringing the bell the day this piece of shit based on his great work came out:

GTAA

The live demonstration of typical mistakes made in finance research. These guys are loosers and for sur would not bet a penny of their own money on their great research. So much easier to "advise" other people's money.

mmport80 · Post by **mmport80** » Mon Mar 09, 2015 10:51 am

I kiiiiiiinda like the guy - in that he's a likeable fella.

Just don't rate the actual product.

Surprised that he's rung the bell! Wow.

goldorak · Post by **goldorak** » Mon Mar 09, 2015 5:36 pm

People can be likable and poorly competent. My neighbor is a very pleasant guy until he tries to give me stock tips.

As far as I can remember he was not the exact one who was hammering the bell, but was part of the group on the floor.

goldorak · Post by **goldorak** » Mon Mar 09, 2015 5:38 pm

Correction: he was. Credit to youtube.

GTAA - NYSE bell

Nonius · Post by **Nonius** » Mon Mar 09, 2015 10:27 pm

I admit ringing the bell is a bit pathetic and like the Eucharist on Sunday mass, but the mofo does seem to have some evil way of taking other people's money, no? Or should we be blowing the whistle to the authorities?

goldorak · Post by **goldorak** » Tue Mar 10, 2015 8:09 am

Nonius, have you heard of any competent regulator recently? And I prefer to remain silent about deficiencies in academic peer review process.

mmport80 · Post by **mmport80** » Tue Mar 10, 2015 10:53 am

Meb Faber isn't alone. I'd add https://www.quantopian.com/ to this bucket also.

Seems to me that ignoring statistical principles lends itself to easier digest analysis...

Obvious. But on the flip side I am sure you could do what they do, a bit more rigorously, and earn some VC or investor management fees while you're at it : )