by Derek W. Bunn, Runyao Yu, Wentao Wang, Yuchen Tao, Yujie Chen
Continue on SelfMadeQuant
Suggested foundations for financial time series and financial machine learning. Specialist prerequisites vary by paper.
Check whether a relationship can be estimated consistently over time.
Establish an interpretable baseline before a flexible model.
Preserve time order and avoid future information in training.
Study long-run relationships without confusing them with correlation.
Check the assumptions behind reported estimates.
Account for dependence and overlapping observations.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.