CoachA research hypothesis is a falsifiable statement, written before the test, about a mechanism that moves prices: which instruments, at which horizon, which observable predicts what, and which result of the test would refute it. Its economic rationale is the answer to the question “who pays you, and why?”: a risk the strategy bears and others will pay to shed, a service it provides (liquidity, immediacy, the warehousing of inventory), a constraint that forces others to trade at a bad price (an index rebalance, a margin call, a mandate), or information processed faster or better than the price already reflects.
Ejemplos
Example 1.2 (A hypothesis written down)
“Stocks that fall more than their sector over one day, on no news, recover part of the move over the next five days, because the sellers are demanding immediacy and market makers are paid for supplying it. The effect should be larger in the bottom half of the universe by traded value and in the top decile of market-wide volatility, and absent on days with an earnings release. If the five-day information coefficient of the sector-relative one-day return is not negative in both halves of the sample, the hypothesis is rejected.” Every clause of it can be tested, and the last sentence says in advance what failure looks like.