Η χαμένη αθωότητα της στατιστικής επαγωγής

Αντιγράφω αποσπάσματα από άρθρο του Robin Wigglesworth με τίτλο “The hidden ‘replication crisis’ of finance: Are swaths of prestigious financial academic research statistically bogus?”. Το άρθρο δημοσιεύτηκε στην Φαϊνάνσιαλ Τάιμς της 15 Νοεμβρίου 2021. Αναφέρεται στην έμμεση (και έντεχνη) χειραγώγηση της στατιστικής επαγωγής -στην απατηλή απόρριψη της υπόθεσης Ηο-, εν προκειμένω στο πεδίο της χρηματοοικονομικής έρευνας. Και όπως θα διαβάσετε, αυτήν την αποκάλυψη, στο πεδίο της βιοϊατρικής έρευνας, έκανε για πρώτη φορά ο καθηγητής Επιδημιολογίας  στο Στάνφορντ Γιάννης Ιωαννίδης – ήταν ακόμη στο Πανεπιστήμιο Ιωαννίνων, θαρρώ. Τα ερευνητικά πρωτόκολλα στην βιοϊατρική, αλλά και στα Οικονομικά, έχουν αλλάξει έκτοτε – χάρη στην συμβολή του καθηγητή Ιωαννίδη. Βεβαίως, στην Πραγματεία για την Πιθανότητα, ο Κέυνς μάς προειδοποιούσε για το προπατορικό αμάρτημα της στατιστικής επαγωγής – την αδυναμία της να αναμετρηθεί με την ποιοτικώς σύνθετη πραγματικότητα.  

 “[O]ver the past decade the scientific world has been gripped by a “replication crisis” — the findings of many seminal studies cannot be repeated, with huge implications. Is investing suffering from something similar?

That is the incendiary argument of Campbell Harvey, professor of finance at Duke university. He reckons that at least half of the 400 supposedly market-beating strategies identified in top financial journals over the years are bogus. Worse, he worries that many fellow academics are in denial about this…

Harvey is … the former editor of the Journal of Finance, a former president of the American Finance Association, and an adviser to investment firms like Research Affiliates and Man Group… In fact, Harvey’s 1986 PhD thesis first showed how the bond market’s curves can predict recessions. In other words, this is not like a child saying the emperor has no clothes. Harvey’s escalating criticism of the rigour of financial academia since 2015 is more akin to the emperor regretfully proclaiming his own nudity…

In 2005, Stanford medical professor John Ioannidis published a bombshell essay titled “Why Most Published Research Findings Are False”, which noted that the results of many medical research papers could not be replicated by other researchers. Subsequently, several other fields have turned a harsh eye on themselves and come to similar conclusions. The heart of the issue is a phenomenon that researchers call ‘p-hacking’. 

In statistics, a p-value is the probability of whether a finding could be because of pure chance — a simple data oddity like the correlation of Nicolas Cage films to US swimming pool drownings — or whether it is “statistically significant”. P-scores indicate whether a certain drug really does help, or if cheap stocks do outperform over time. 

P-hacking is when researchers overtly or subconsciously twist the data to find a superficially compelling but ultimately spurious relationship between variables. It can be done by cherry-picking what metrics to measure, or subtly changing the time period used. Just because something is narrowly statistically significant, does not mean it is actually meaningful. A trading strategy that looks golden on paper might turn up nothing but lumps of coal when actually implemented.

Harvey attributes the scourge of p-hacking to incentives in academia. Getting a paper with a sensational finding published in a prestigious journal can earn an ambitious young professor the ultimate prize — tenure… Wasting months of work on a theory that does not hold up to scrutiny would frustrate anyone. It is therefore tempting to torture the data until it yields something interesting, even if other researchers are later unable to duplicate the results.

Obviously, the stakes of the replication crisis are much higher in medicine, where lives can be in play. But it is not something that remains confined to the ivory towers of business schools, as investment groups often smell an opportunity to sell products based on apparently market-beating factors, Harvey argues. ‘It filters into the real world,’ he says. ‘It definitely makes it into people’s portfolios.’”

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