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Data science for financial econometrics
Researchers and practitioners have been analyzing data for centuries, by using
techniques ranging from traditional statistical tools to more recent machine learning
and decision-making methods. Until recently, however, limitations on computing
abilities necessitates the use of simplifying assumptions and models, and processing
data samples instead of all the available data. In the last decades, a steady progress
both in computing power and in data processing algorithms has enabled us to
directly process all the data—to the extent that sometimes (e.g., in applications of
deep learning) our data collection lags behind our computing abilities. As a result, a
new multi-disciplinary field has emerged: data science, a field that combines
statistics, data analysis, machine learning, mathematics, computer science, infor-
mation science, and their related methods in order to understand and analyze
real-life phenomena.
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