by Buddha Nath Sharma, Chittaranjan Hens, Kundan Mukhia, Md. Nurujjaman, Salam Rabindrajit Luwang, Suman Saha, Tanujit Chakraborty
Continue on SelfMadeQuant
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.