Out-of-Sample
Daniele BianchiAcademic research on statistical learning, with an eye on what works in practice.
| Platform |  | Pricing | Only free issues | Publishes | Weekly |
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| Issues | 4 | Founded | 5 years ago | Last Issue | 2 months ago |
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danielebianchi.substack.comLatest Issues
The Shrinkage Hidden Inside Model Averaging
Spoiler: The model you picked might be wrong
You have built a predictive model. You ran variable selection — maybe lasso, maybe spike-and-slab, maybe just stepwise regression with some ad hoc stopping rule — and arrived at a specificati...
The Noise Tax in Economic Forecasting
Imagine running a regression with 200 macroeconomic predictors to forecast inflation. You allow the coefficients to vary over time — a sensible choice given that economic relationships evolve. But at any given quarter, perhaps 5 to 10 of th...
Not Just Noise in Crypto
You run a factor model on a cross-section of 600 cryptocurrencies. You have the usual suspects — size, momentum, a market factor — and maybe a few crypto-native signals like on-chain activity or speculative demand proxies. The model capture...
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Authors
The writers behind this newsletter.
I am a Financial Economist at the School of Economics and Finance, Queen Mary University of London. My research interests span empirical asset pricing, Bayesian econometrics, and machine learning.
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