Voodoo Investment Strategies
Mathematicians on the attack.
Firing a Broadside
Immediately after I finished yesterday's column on technical analysis, a related paper landed on my desk: "Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-Of-Sample Performance."
It's the first paper written by mathematicians that I have ever read. (Certainly, the first that was peer-reviewed for Notices of the American Mathematical Society.) And a pleasure it was. Based on a sample size of one, I can confidently state that mathematicians are much better writers than are finance professors.
John Rekenthaler does not own shares in any of the securities mentioned above. Find out about Morningstar’s editorial policies.