Too Long; Didn't Read
Stationarity and time series predictability, a special case of which is time series memory, are notions that are fundamental to the quantitative investment process. However, these are often misunderstood by practitioners and researchers alike, as attests Chapter 5 of the recent book <a href="https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089" target="_blank">Advances in Financial Machine Learning</a>. I’ve had the pleasure to elucidate these misconceptions with some attendees of <a href="https://som.yale.edu/event/2018/10/the-rise-of-machine-learning-in-asset-management" target="_blank">The Rise Of Machine Learning in Asset Management</a> at Yale last week after the conference, but I’ve come to think that the problem is so widespread that it deserves a public discussion.