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1 " Many investment managers believe that the secret to riches is to implement an extremely complex ML algorithm. They are setting themselves up for a disappointment. If it was as easy as coding a state-of-the-art classifier, most people in Silicon Valley would be billionaires. "
― , Advances in Financial Machine Learning
2 " Supervised learning algorithms typically require stationary features. The reason is that we need to map a previously unseen (unlabeled) observation to a collection of labeled examples, and infer from them the label of that new observation. If the features are not stationary, we cannot map the new observation to a large number of known examples. But stationary does not ensure predictive power. Stationarity is a necessary, non-sufficient condition for the high performance of an ML algorithm. The problem is, there is a trade-off between stationarity and memory. We can always make a series more stationary through differentiation, but it will be at the cost of erasing some memory, which will defeat the forecasting purpose of the ML algorithm. "
3 " Dollar bars are formed by sampling an observation every time a pre-defined market value is exchanged. Of course, the reference to dollars is meant to apply to the currency in which the security is denominated, but nobody refers to euro bars, pound bars, or yen bars (although gold bars would make for a fun pun). "
4 " Econometrics is the application of classical statistical methods to economic and financial series. The essential tool of econometrics is multivariate linear regression, an 18th-century technology that was already mastered by Gauss before 1794. Standard econometric models do not learn. It is hard to believe that something as complex as 21st-century finance could be grasped by something as simple as inverting a covariance matrix. "