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Twenty Questions for Your Own Project

This is the course compressed into a preparation ritual. Before any interview where your project may come up, answer all twenty in writing. "I don't know, and here is how I'd find out" is an acceptable answer; discovering the question for the first time in the room is not.

Data and universe

  1. Was every field knowable at decision time, or could timestamps hide announcement lags and restatements?
  2. Was the universe defined as of each date, including the names that later disappeared?
  3. Who collected the data, and what would a missing or misaligned day look like in my pipeline?

Labels and sample

  1. Do my labels overlap, and what is the effective number of independent observations?
  2. Did every statistic I quote use that effective number?
  3. How many independent bets does the track record contain at my holding period?

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