<t>Thanks for the advice, sure non-normality doesnt help and I was probably wrong to suppose that Fisher and Student tests where robust with respect to non-normality of my data.any references ? (google only returned 3 links for "bootstrapped innovations")what about Mann-Whitney U-test ? ps : actuall...

<t>I have been using Fisher and Student statistics to test wether a filter/forecast is significant...and I am very disapointed because it seems the fact filter/forecast is significant one week does not imply it will be significant for the weeks after ! (I have checked some basic filters on equity we...

check ASA codeAdaptive Simulated Annealing

Quote The only requirement is a soundcard, doesn't even need to be connected to anything.Lots of electormagnetic hiss,pops, crackles, clicks appear if you turn the volume up real loud. lol, I didn't realize it was a hoax...

QuoteBeta testers wantedso what do you want beta tester to do ? could you talk about hardware requirements for your test.

Do you mean you need computer time to produce random numbers ?I'm ok to let my computer crush numbers at night for some time, if you give source code for your prg.

<t>have a look at tramo/seats methods.tramo and seats are especially usefull with montly data and can forecast 24 months ahead with confidence interval.you can find free public implementations : google Demetra and TSW.Once you have forecasts, you want to statistically test whether these forecasts ar...

<r>I agree there are few relevant papers that effectively quantitfy survivor bias or selection bias.Do you know any good links to address these issue ? <URL url="http://www2.standardandpoors.com/NASApp/cs/ContentServer?pagename=sp/Page/IndicesIndexPg&r=1&l=EN&b=4&s=6&ig=51&i=...

Which generators could we use with sensible fit to actual average US stock daily price history ? (i.e. generator properties) Do you know any ref. in this matter ? (apart from B.Mandelbrot)

<t>In fact I was trying to identify the portfolio located in efficient frontier (accros all investment asset classes) which will lead over next 20-30 years to 5%-6% return on investment, with no need rebalancing...Of course If you can borrow at X% and be sure you can earn X%+e% on a consistent basis...

in my humble opinion, your target allocation may be:30% real estate30% bonds20% common equity (msci world)10% private equity10% commodities (included hedge funds)generaly speaking, equity, real estate, (commodities ?) are linked with inflation so you can actually hedge % of inflation risk.