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q-fin.GN2019
Model uncertainty in financial forecasting
Matthias J. Feiler, Thibaut Ajdler
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or:…
q-fin.GN2019★ 1 cited
Learning from Others in the Financial Market
Matthias Feiler, Thibaut Ajdler
Prediction problems in finance go beyond estimating the unknown parameters of a model (e.g. of expected returns). This is because such a model would have to include parameters gove…