Gene

Process (computing)

Biology

Statistics

Operating system

Set (abstract data type)

Biochemistry

Computer science

Paleontology

Statistical process control

Statistic

Mathematics

Statistical hypothesis testing

Data set

Multiple comparisons problem

Test statistic

Econometrics

False discovery rate

Series (stratigraphy)

Chemistry

Programming language

Review of Financial Studies

We use information from over 2 million trading strategies randomly generated using real data and from strategies that survive the publication process to infer the statistical properties of the set of strategies that could have been studied by researchers. Using this set, we compute $t$-statistic thresholds that control for multiple hypothesis testing, when searching for anomalies, at 3.8 and 3.4 for time-series and cross-sectional regressions, respectively. We estimate the expected proportion of false rejections that researchers would produce if they failed to account for multiple hypothesis testing to be about 45%.

Anomalies and False Rejections