Predictive Analytics: The Power to Predict Who Will Click, Buy, Lie, or Die
by Eric Siegel · 19 Feb 2013 · 502pp · 107,657 words
the annual closing price of the S&P 500 stock market index could have been predicted from 1983 to 1993 by the rate of butter production in Bangladesh. Bangladesh’s butter production mathematically explains 75 percent of the index’s variation over that time. Urgent calls were placed to the Credibility Police, since it certainly cannot
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of analysis?” Leinweber got as far as 99 percent accuracy predicting the S&P 500 by allowing a regression model to work with not only Bangladesh’s butter production, but Bangladesh’s sheep population, U.S. butter production, and U.S. cheese production. As a lactose-intolerant data scientist, I protest! Leinweber attracted
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-author/5062DA68-FCF6–42AC-AC62-AE6046BA40AC.html#!5062DA68-FCF6–42AC-AC62-AE6046BA40AC. Laura Washington, “What’s the Stock Market Got to Do with the Production of Butter in Bangladesh?” CNNMoney Magazine, March 1, 1998. http://money.cnn.com/magazines/moneymag/moneymag_archive/1998/03/01/238606/index.htm. Buried treasure discoveries predicted the
Nerds on Wall Street: Math, Machines and Wired Markets
by David J. Leinweber · 31 Dec 2008 · 402pp · 110,972 words
member nations. There were thousands of annual time series for each country. Which of all these series had the strongest correlation with U.S. stocks? Butter production in Bangladesh, with a correlation of 75 percent! Getting into the spirit, we tossed in cheese, and brought it up to 95 percent. Using only dairy
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gag. Chapter 6, “Stupid Data Miner Tricks,” is very much in the spirit of “The Tumescent Threat,” but I still get calls asking about current butter production in Bangladesh. Intr oduction xlv 6. It is now complete, and is utterly awesome. See the video at www.deltawerken.com/ The-Oosterschelde-storm-surge-barrier
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quantitative investing. In total disregard of common sense, we showed the strong statistical association between the annual changes in the S&P 500 index and butter production in Bangladesh, along with other farm products. Reporters picked up on it, and it has found its way into the curriculum at the Stanford Business School
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Data Miner Tricks 139 S&P 500 unemployment, and the like, but we’ll stay away from those. Let’s use something even better: butter production in Bangladesh.Yes, there it is: a simple, single dairy product that explains 75 percent of the variation in the S&P 500 over 10 years. R2
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81 82 83 84 85 86 87 Year 88 89 90 91 92 93 S&P 500 Figure 6.2 Overfitting the S&P 500: butter production in Bangladesh—a single variable that “explains” 75 percent of the S&P’s returns. 500 450 400 350 300 250 200 150 100 50 0
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. Believe it or not, there was a 10-year period when the annual change in the S&P 500 had a 75 percent correlation with butter production in Bangladesh. Favoring models with fewer variables and simpler transforms can be reflected in the fitness function. • Simplicity and parsimony is also fostered by some deviations
Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals
by David Aronson · 1 Nov 2006
of Objective TA 261 find the one with the highest predictive correlation to the S&P 500. It turned out to be the level of butter production in Bangladesh, with a correlation of about 0.70, an unusually high correlation in the domain of economic forecasting. Intuition alone would tell us a high
Quantitative Value: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors
by Wesley R. Gray and Tobias E. Carlisle · 29 Nov 2012 · 263pp · 75,455 words
a stunning discovery. A simple dairy product from an unlikely country explained 75 percent of the variation in the S&P 500. What was it? Butter production in Bangladesh. Leinweber knew he was on to something. Maybe he could do better by including global data on a broader selection of dairy products. What
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found its way into the curriculum at the Stanford Graduate School of Business and elsewhere. Leinweber started getting calls from investors about the status of butter production in Bangladesh. With the charts fading from being copied time and time again, he decided to write up the study and publish it. Leinweber's study
How to Predict the Unpredictable
by William Poundstone · 267pp · 71,941 words
money manager David J. Leinweber supplied a classic example. He searched UN statistics to determine that the best predictor of S&P 500 performance was … butter production in Bangladesh. The connection was, of course, just a coincidence. Leinweber’s point was that not all that correlates is gold. While no one would be
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fear of boom mentality.” Los Angeles Times, Jan. 30, 2013. Leinweber, David J. (1998). “What’s the Stock Market Got to Do with the Production of Butter in Bangladesh?” Money, Mar. 1998. Levitt, Steven. (2004). “Why are gambling markets organized so differently from financial markets?” Economic Journal 114, 223–246. Light, Glenn, Karl
The Four Pillars of Investing: Lessons for Building a Winning Portfolio
by William J. Bernstein · 26 Apr 2002 · 407pp · 114,478 words
lark, David Leinweber of First Quadrant sifted through a United Nations database and discovered that movements in the stock market were almost perfectly correlated with butter production in Bangladesh. This is not one I’d want to test going forward with my own money. Fama’s timing, though, was perfect. He came to
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past. The problem is that sifting through numerous pieces of economic and financial data will produce some strong associations purely by chance, just like the Bangladesh butter production/S&P 500 correlation we previously discussed. There are certainly pieces of data that are predictive of future economic activity, the best known being the
The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
by Gregory Zuckerman · 5 Nov 2019 · 407pp · 104,622 words
them, quant investor David Leinweber later would determine that US stock returns can be predicted with 99 percent accuracy by combining data for the annual butter production in Bangladesh, US cheese production, and the population of sheep in Bangladesh and the US.4 Often, the Renaissance researchers’ solution was to place such head
A Mathematician Plays the Stock Market
by John Allen Paulos · 1 Jan 2003 · 295pp · 66,824 words
CD-ROM and found that the best predictor of the value of the S&P 500 stock index was—a drum roll here—butter production in Bangladesh. Needless to say, butter production in Bangladesh has probably not remained the best predictor of the S&P 500. Whatever rules and regularities are discovered within a sample must
How I Became a Quant: Insights From 25 of Wall Street's Elite
by Richard R. Lindsey and Barry Schachter · 30 Jun 2007
member nations. There were thousands of annual time series for each country. Which of all these series had the strongest correlation with U.S. stocks? Butter production in Bangladesh, with a correlation of 75 percent! Getting into the spirit, we tossed in cheese, and brought it up to 95 percent. Using only dairy
Data Mining: Concepts, Models, Methods, and Algorithms
by Mehmed Kantardzić · 2 Jan 2003 · 721pp · 197,134 words
Corp. in Pasadena, California, gives an example of the pitfalls of data mining. Working with a United Nations data set, he found that historically, butter production in Bangladesh is the single best predictor of the Standard & Poor’s 500-stock index. This example is similar to another absurd correlation that is heard yearly
More Than You Know: Finding Financial Wisdom in Unconventional Places (Updated and Expanded)
by Michael J. Mauboussin · 1 Jan 2006 · 348pp · 83,490 words
A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Eleventh Edition)
by Burton G. Malkiel · 5 Jan 2015 · 482pp · 121,672 words
A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing
by Burton G. Malkiel · 10 Jan 2011 · 416pp · 118,592 words
Think Twice: Harnessing the Power of Counterintuition
by Michael J. Mauboussin · 6 Nov 2012 · 256pp · 60,620 words
Pax Technica: How the Internet of Things May Set Us Free or Lock Us Up
by Philip N. Howard · 27 Apr 2015 · 322pp · 84,752 words