japanja

Data mining

Data mining, also referred to as data dredging, data fishing, data fitting or data snooping, is the misuse of quantitative data analysis to report patterns that can be presented as statistically significant when, in fact, there is no real underlying phenomenon.

P-hacking is a form of data mining. This is usually done by performing large numbers of statistical tests of many different hypotheses on the data, and only reporting the results that can be considered significant in terms of p-value.

Data mining is typically found in medical studies, in fields such as epidemiology or psychology for example, where large datasets are used. But it also used in other scientific disciplines, in particular in finance. In recent years, many prominent academics have warned about the risk of data mining in financial research.

クオンツ運用
クオンツ運用

ロベコは25年以上にわたりクオンツ運用をリードし、応用研究を実践的なソリューションに適用してきました。

さらに読む
Restoring the battered Value factor in equities
Restoring the battered Value factor in equities
The recent dreadful performance of the academic Value equity factor has been a blow for many investors.
20-10-2020 | インサイト
There is more to factor investing than just Fama-French
There is more to factor investing than just Fama-French
The period of 2010-2019 was a lost decade for the five Fama-French factors, leading many to question whether Value was dead and whether Size had ever worked at all.
09-10-2020 | ビデオ
Settling the Size matter in equities
Settling the Size matter in equities
The equity Size premium has failed to materialize since its discovery, almost forty years ago.
23-09-2020 | リサーチ