Capstone Project Idea

[Peter]

This might be a good subject for a Capstone project. It's a great paper, but I think there are some lingering questions that are begging to be answered.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1366663

 

[Sanket Patel]

I've also heard that the butter production in Bangladesh is often an indicator of future stock market returns.

 

[Uncle Max]

A couple of years ago I attended one of the WealthLab presentations by Fidelity. James Altucher (he wrote several books) was one of the speakers. As an example he showed statistical data that S&P500 daily returns are correlated with amount of snow in central park on that day.

After that he built a very basic strategy in WealthLab using this observation and back-tested it. Results were impressive

Looks like using Lunar Phases is much more advanced approach.

 

[Peter]

The person appears to be a professor of finance. I have to confess that I only read the abstract. I wonder if the paper is supposed to be an object lesson on the abuses of econometric time series analysis?

Or maybe it was supposed to be some kind of prank ala Alan Sokal?