by Gilles Zumbach
Continue on SelfMadeQuant
Suggested foundations for financial time series and monte carlo and numerical simulation. Specialist prerequisites vary by paper.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Understand convergence, sampling error and confidence intervals.
Generate reproducible samples and distinguish randomness from model assumptions.
Study long-run relationships without confusing them with correlation.
Check the assumptions behind reported estimates.
Turn a discounted payoff into an estimator.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.