“Econometrics is the application of classical statistical methods to economic and financial series. The essential tool of econometrics is multivariate linear regression, an 18th-century technology that was already mastered by Gauss before 1794. Standard econometric models do not learn. It is hard to believe that something as complex as 21st-century finance could be grasped by something as simple as inverting a covariance matrix.”
—Marcos Lopez de Prado, Advances in Financial Machine Learning.
