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Tangentially related, but interesting, EconTalk episode that goes into p-values related to investment strategies, LHC experiments and other stuff: Campbell Har
by hnnewguy 11y ago
Tangentially related, but interesting, EconTalk episode that goes into p-values related to investment strategies, LHC experiments and other stuff:
Campbell Harvey of Duke University talks with EconTalk host Russ Roberts about his research evaluating various investment and trading strategies and the challenge of measuring their effectiveness. Topics discussed include skill vs. luck, self-deception, the measures of statistical significance, skewness in investment returns, and the potential of big data.
http://www.econtalk.org/archives/2015/03/campbell_harvey.html http://www.econtalk.org/archives/2015/03/campbell_harvey.htm...
- tedsanders 11y agoPersonally, I thought that episode was rather poor. Harvey made a number of claims that were just plain false. For example, he said that the p value is the probability that your result is true (!). He also said that the reason that physicists at the LHC require 5 sigma is because their data is so noisy (!). I think the first one was a miswording, but the second was a serious conceptual error. I wish Russ had pushed back a little harder on that episode.