by Brian Henderson, Darwin Choi, Heather Tookes, Mila Getmansky
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Suggested foundations for financial time series. Specialist prerequisites vary by paper.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Study long-run relationships without confusing them with correlation.
Check the assumptions behind reported estimates.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.