Thomas A. Rathburn has written a series of three articles on data mining the financial markets. Rathburn takes a detailed look into the success and failures of his efforts in the markets and with 10 year US bonds in particular. You can check it out here part 1, part 2, and part 3. The articles are also available as a podcast here: 1, 2, 3.
[via KDnuggets]
