Asif Noor – Modern Systematic Macro (S6E9)
Flirting with Models
How to Maintain a Research Graveyard
The process element is hugely valuable when it comes to actually running a quant operation. It's unlikely that something that has been categorized as fair research of the last three four years will come back and work because they will be quite fundamental issues with that research. As an example, you know, we look for consistency across the different markets that we forecast. So if you're forecasting 20 equity markets, and this particular model only forecasts in some specific significance only 10% of those markets. Well, that's a little bit odd, right? That's a littlebit difficult to overcome. Of course you can think about why those two markets work, but that's not how we do research.
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