An Algorithm, an ETF and an Academic Study Walk Into a Bar

Interesting WSJ article about the dangers of “p-hacking” in financial economics…

Tie together an algorithm, an exchange-traded fund and an academic study finding an anomaly in the markets, and you have a formula for making money. Trouble is, it turns out that most of the supposed anomalies academics have identified don’t exist, or are too small to matter.

 

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