| 00:00 - 00:03 | We used a neural network |
| 00:04 - 00:05 | To partition the dataset |
| 00:05 - 00:07 | And fitted a Markov state model |
| 00:08 - 00:12 | Which we overlaid with our AI algo |
| 00:12 - 00:15 | To get these parameters here |
| 00:17 - 00:19 | And I assume we kept the last |
| 00:19 - 00:21 | five years as an out of sample period? |
| 00:24 - 00:26 | Mein Fuhrer... |
| 00:27 - 00:28 | the dataset was... |
| 00:31 - 00:33 | There was no out of sample |
| 00:34 - 00:36 | We had to use the entire dataset |
| 00:53 - 00:58 | Everyone who doesn't know how to do basic OLS: leave please |
| 01:13 - 01:15 | How many times do I have to tell you! |
| 01:15 - 01:17 | You should always leave an out of sample period |
| 01:18 - 01:23 | The problem with you fancy Phds is you have no real market experience |
| 01:25 - 01:28 | And you use every damn technique in Lopez De Prado |
| 01:29 - 01:31 | I'd be better off doing everything |
| 01:31 - 01:34 | myself with OLS regression |
| 01:34 - 01:37 | I'd be better off just doing a simple |
| 01:37 - 01:40 | grid search! |
| 01:40 - 01:42 | Mein Fuhrer, even OLS is technically ML |
| 01:42 - 01:46 | Just because you run it on a machine doesn't mean it's ML |
| 01:46 - 01:48 | Mein Fuhrer, you can also overfit grid searches |
| 01:48 - 01:52 | Don't tell me about grid searches! |
| 01:53 - 01:54 | I was doing grid searches when |
| 01:56 - 01:57 | you were still in nappies! |
| 01:57 - 02:00 | The whole point about grid searches |
| 02:00 - 02:03 | is of course you can overfit |
| 02:04 - 02:08 | but you know you are overffiting! |
| 02:08 - 02:13 | With these fancy shmanzy Phd methodologies |
| 02:14 - 02:16 | you have absolutely no idea |
| 02:17 - 02:21 | if you have too many degrees of freedom! |
| 02:27 - 02:29 | I shouldn't have given you |
| 02:30 - 02:34 | a Matlab license |
| 02:34 - 02:36 | You're not ready for it |
| 02:41 - 02:42 | I'm going to take your |
| 02:43 - 02:47 | Bloomberg terminals away |
| 02:48 - 02:53 | and give you all Excel 97 |
| 02:54 - 02:56 | And HP-12c calculators! |
| 02:56 - 02:59 | Then maybe you'll manage |
| 03:00 - 03:02 | to avoid overfitting! |
| 03:04 - 03:07 | It's okay. You can still price options in VBA 5.0 |
| 03:14 - 03:16 | We're going to have to refit everything |
| 03:19 - 03:23 | Properly this time. Robustly. |
| 03:25 - 03:26 | Rolling out of sample. |
| 03:31 - 03:33 | And this time without any Phds. |
| 03:40 - 03:46 | You're all fired. |
| 03:46 - 03:49 | Go home. |
| 03:53 - 03:56 | Now someone bring me my slide rule. |
