tag:blogger.com,1999:blog-706772597530050449.post5764063433618280829..comments2024-02-19T12:04:56.080-05:00Comments on Reading the Markets: Siegel, Predictive Analytics, 2d ed.Brenda Jubinhttp://www.blogger.com/profile/02587551531260863509noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-706772597530050449.post-80898117448620066662016-11-22T02:19:03.200-05:002016-11-22T02:19:03.200-05:00In the trading context, I regress a few predictors...In the trading context, I regress a few predictors against returns to see if the tstats and coefficients are of a constant sign and significant magnitude over time. I do this in a rolling window, and if the tstats were to get too close to 0, that would be a warning sign that the predictors were losing their edge.Anonymousnoreply@blogger.com