The Importance of Out-of-Sample Tests and Lags in Forecasts and Trading Algorithms

October 14, 2016
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(This article was first published on R – Data Shenanigans, and kindly contributed to R-bloggers)

I recently had the opportunity to listen to some great minds in the area of high-frequency data and trading. While I won’t go into the details about what has been said, I wanted to illustrate the importance of proper out-of-sample testing and proper variable lags in potential trade algorithms or arbitrage models that has been […]

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