Selection bias under multiple testing is a serious problem. From a practitioner's perspective, failure to disclose the impact of multiple tests of a proposed investment strategy to clients and senior management can lead to the adoption of a false discovery. Clients will lose money, senior...

The False Strategy theorem tells us that the optimal outcome of an unknown number of historical simulations is right-unbounded — with enough trials, there is no Sharpe ratio sufficiently enough to reject the hypothesis that a strategy is false. Given the ease with which one can use a computer...

I have divided this testimony into four sections, which discuss: (1) several types of automation currently being deployed in capital markets and the financial sector, and how they affect decision-making; (2) how machine learning (ML) and automation can help and hurt workers by disruption of the...

Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for...

Convex optimization solutions tend to be unstable, to the point of entirely offsetting the benefits of optimization. For example, in the context of financial applications, it is known that portfolios optimized in sample often underperform the naïve (equal weights) allocation out of sample.This...

Convex optimization solutions tend to be unstable, to the point of entirely offsetting the benefits of optimization. For example, in the context of financial applications, it is known that portfolios optimized in-sample often underperform the naïve (equal weights) allocation out-of-sample. This...

Traditionally, the development of investment strategies has required domain-specific knowledge as well as access to restricted datasets. This has meant that investment opportunities are not researched by the majority of data scientists, because they lack either or both of these requirements. In...

Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for...

Economics (and by extension finance) is arguably one of the most mathematical fields of research. However, economists' choice of math may be inadequate to model the complexity of social institutions. In a constructive spirit, this note offers some advice on how students could increase their...

Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for...