The Future of Empirical Finance
指出实证金融研究中历史模拟方法存在缺陷，提出从个人转向社区驱动的研究范式、利用技术推导同行p值、加强理论基础和与金融公司合作等四项解决方案，以应对多重检验和选择性偏差问题。
Empirical finance is in crisis. The profession’s most important discovery tool is historical simulation, and yet most backtests and time series analyses published in journals are flawed. The problem is well known to professional organizations of statisticians and mathematicians, who have publicly criticized the misuse of mathematical tools among finance researchers. In this article, the author points to three problems and proposes four practical solutions. In an attempt to overcome the challenges posed by multiple testing and selection biaes, the author emphasizes the need to move from an individual-centric to a community-driven research paradigm. Low retraction rates can be corrected through technologies that derive “peer <italic>p</italic>-values.” Stronger theoretical foundations and closer ties with financial firms would help prevent false discoveries. <bold>TOPICS:</bold> <ext-link>Portfolio theory</ext-link>, <ext-link>simulations</ext-link>, <ext-link>portfolio management/multi-asset allocation</ext-link>