by Antoine Parent, Barbara Pascal, Cécile Bastidon, Pablo Jensen, Patrice Abry, Pierre Borgnat
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Suggested foundations for financial time series and optimisation and numerical methods. Specialist prerequisites vary by paper.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Study long-run relationships without confusing them with correlation.
Check the assumptions behind reported estimates.
Understand identifiability and fitted model parameters.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.