PT  - JOURNAL ARTICLE
AU  - Joseph A. Cerniglia
AU  - Frank J. Fabozzi
AU  - Petter N. Kolm
TI  - Best Practices in Research for Quantitative Equity Strategies
AID  - 10.3905/jpm.2016.42.5.135
DP  - 2016 Jul 31
TA  - The Journal of Portfolio Management
PG  - 135--143
VI  - 42
IP  - 5
4099  - https://pm-research.com/content/42/5/135.short
4100  - https://pm-research.com/content/42/5/135.full
AB  - The authors examine the research process and principles underlying successful models used in quantitative equity strategies. They identify three key factors they see contributing to improved empirical work: 1) making research design a top priority, 2) making new, more extensive datasets available, and 3) making advances in computational areas such as econometrics, machine learning, and statistics. The authors explain these key factors and also share insights on how to integrate market dynamics, data, research design, advance modeling techniques, and economic/financial introspection into the research process.TOPICS: Quantitative methods, derivatives, portfolio management/multi-asset allocation