by Mariia Soloviova, Tiziano Vargiolu
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Suggested foundations for optimisation and numerical methods and financial time series. Specialist prerequisites vary by paper.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Understand identifiability and fitted model parameters.
Separate model error from unstable numerical computation.
Study long-run relationships without confusing them with correlation.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.