Data Mining, Non-Stationarity And Entropy Investment Implications

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2022Publisher:EQDerivatives, Inc.Journal:Journal of Systematic Investing, volume 2 (eissn: 2633-8254,

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Authors: Bradford Cornell;

doi: 10.52354/jsi.2.1.i , 10.2139/ssrn.4071007

Data Mining, Non-Stationarity And Entropy Investment Implications

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Abstract

This paper presents a high-level, intuitive, analysis of the relation between data mining, non-stationarity, and entropy. It then turns to a discussion of their implications for practical investment management. The bottom line is that skepticism regarding investment strategies is warranted.

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University of California, Los Angeles
United States

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