The Importance of Out-of-Sample Tests and Lags in Forecasts and Trading Algorithms
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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 […]Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.
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