A financial paper with excellent thoughts about the cautions that should be taken in quantitative methods. My comments below: 👇👇👇
![](https://pbs.twimg.com/media/DuxL1bTW4AAt3OQ.jpg)
Including a Nobel prize!
And the motivation for the protocol is excellent...
But would you invest in such a (non-sense) strategy?
And with so many models tested and retested, it's not difficult to find false positives (discoveries). And once published, these promising models rarely work as well as in the backtest...