Our review highlights some of the key challenges in financial forecasting problems along with opportunities arising from the unique features of financiall data. We analyze the difficulty of establishing predictability in an environment with a low signal-to-noise ratio, persistent predictors, and instability in predictive relations arising from competitive pressures and investors' learning. We discuss approaches for forecasting the mean, variance, and probability distribution of asset returns. Finally, we cover how to evaluate financial forecasts while accounting for the possibility that numerous forecasting models may have been considered, leading to concerns of data mining.

中文翻译：

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金融预测方法

我们的评论重点介绍了财务预测问题中的一些关键挑战，以及由于财务数据的独特功能而带来的机遇。我们分析了在低信噪比，持续的预测因素以及由于竞争压力和投资者的学习而导致的预测关系不稳定的环境中建立预测能力的困难。我们讨论了预测资产收益的均值，方差和概率分布的方法。最后，我们介绍了如何评估财务预测，同时考虑了可能已经考虑了许多预测模型的可能性，从而引起了数据挖掘的担忧。