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This brings an interesting point regarding reproducibility in economics. It's possible for a paper to be legit and be good science, but the moment it's publishe
by jobigoud 7y ago
This brings an interesting point regarding reproducibility in economics. It's possible for a paper to be legit and be good science, but the moment it's published it becomes irreproducible because other actors are going to use the published approach from now on and the balance in a game theoretic way is not the same. By publishing a paper you can change the thing you are studying.
- dwohnitmok 7y agoThis is what the author is talking about when he says "alpha decay." He tried to account for it with backtesting (so simulating a market that has no knowledge of these strategies) and the strategies still failed.