Three Quant Lessons from COVID-19 (Presentation Slides)
19 Pages Posted: 31 Mar 2020 Last revised: 8 May 2020
Date Written: March 27, 2020
Many quantitative firms have suffered substantial losses as a result of the COVID-19 selloff. In this note we highlight three lessons that quantitative researchers could learn.
Keywords: COVID-19, nowcasting, machine learning, Monte Carlo, backtesting, backtest overfitting
JEL Classification: G0, G1, G2, G15, G24, E44
Suggested Citation: Suggested Citation