{"title":"第一类和第二类财务错误(幻灯片)","authors":"Marcos M. López de Prado","doi":"10.2139/ssrn.3201981","DOIUrl":null,"url":null,"abstract":"Full paper is available at: https://ssrn.com/abstract=3193697 Most papers in the financial literature control for Type I errors (false positive rate), while ignoring Type II errors (false negative rate). This is a mistake, because a low Type I error can only be achieved at the cost of a high Type II error. In this presentation we derive analytical expressions for both, after correcting for Non-Normality, Sample Length and Multiple Testing.","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":"35 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2018-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Type I and Type II Errors in Finance (Presentation Slides)\",\"authors\":\"Marcos M. López de Prado\",\"doi\":\"10.2139/ssrn.3201981\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Full paper is available at: https://ssrn.com/abstract=3193697 Most papers in the financial literature control for Type I errors (false positive rate), while ignoring Type II errors (false negative rate). This is a mistake, because a low Type I error can only be achieved at the cost of a high Type II error. In this presentation we derive analytical expressions for both, after correcting for Non-Normality, Sample Length and Multiple Testing.\",\"PeriodicalId\":57292,\"journal\":{\"name\":\"公司治理评论\",\"volume\":\"35 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-06-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"公司治理评论\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3201981\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"公司治理评论","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.2139/ssrn.3201981","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Type I and Type II Errors in Finance (Presentation Slides)
Full paper is available at: https://ssrn.com/abstract=3193697 Most papers in the financial literature control for Type I errors (false positive rate), while ignoring Type II errors (false negative rate). This is a mistake, because a low Type I error can only be achieved at the cost of a high Type II error. In this presentation we derive analytical expressions for both, after correcting for Non-Normality, Sample Length and Multiple Testing.
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