Ernest Chan
@echanqt.bsky.social
Author of Quantitative Trading, Algorithmic Trading, and Machine Trading http://epchan.com. Founder of http://Predictnow.ai and QTS Capital Management http://qtscm.com.
If you don’t know whether X causes Y or vice versa, best not to regress Y against X with OLS. Use Deming (orthogonal) regression instead. H/T Marcos Lopez de Prado
November 29, 2024 at 11:57 AM
If you don’t know whether X causes Y or vice versa, best not to regress Y against X with OLS. Use Deming (orthogonal) regression instead. H/T Marcos Lopez de Prado