Tag Archives: model error
Exponential decay models
All models are wrong, some models are more wrong than others. The streetlight model Exponential decay models are quite common. But why? One reason a model might be popular is that it contains a reasonable approximation to the mechanism that generates the data. That is seriously unlikely in this case. When it is dark and … Continue reading
Posted in R language, Statistics
Tagged exponential decay, exponential smoothing, model error
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Highlights of the London Quant Group Technology Day
A summary of the high points of the day. Factor models and optimization Three of the talks formed a theme: factor models of variance — especially as applied to portfolio optimization. The basic problem is that variance matrices are created with error. A variance matrix is a key input to (some) portfolio optimizations. The optimizer … Continue reading
