056: Campbell Harvey on Improving Significance Tests, the Importance of Positive Skew and the Future of Blockchain

Campbell R. Harvey is Professor of Finance at the Fuqua School of Business at Duke University and a Research Associate of the National Bureau of Economic Research in Cambridge, Massachusetts. He served as Editor of The Journal of Finance from 2006-2012 and is President-elect of the American Finance Association.

Campbell’s research interests include statistical methods, risk management, asset allocation, real assets and cryptocurrencies. He is the Investment Strategy Advisor to the Man Group plc, the world’s largest, publicly listed, global hedge fund.

In this episode you will learn: 

why it’s important to use t-statistics and significance tests and how it can be improved.

about the very simple idea Professor Campbell Harvey applies to his statistical modelling to improve the robustness of his tests.

why it’s wrong to use 2 standard deviations to have 95% confidence when running many tests.

about ‘Significant’, the XKCD cartoon that illustrates the vulnerability of statistical significance testing.

why the level of skew in a distribution must play more of an important role in risk management and portfolio selection.

why Taleb’s Black Swan only looks at one side of the distribution - the negative side, and why we must also look at the positive side.

and much more.

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Check out the shownotes page and all the links mentioned in this episode at www.economicrockstar.com/harvey-campbell