FANDOM


Overfitting

  • Suhonen, A., Lennkh, M. and Perez, F. Quantifying Backtest Overfitting in Alternative Beta Strategies (2016). SSRN
  • Wiecki, T. et. al. All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms (2016). SSRN
  • Novy-Marx, R. Backtesting Strategies Based on Multiple Signals (2015). SSRN
  • Harvey, C. and Liu, Y. Lucky Factors (2014). SSRN
  • Bailey D. et. al. Statistical Overfitting and Backtest Performance (2014). SSRN
  • Bailey, D. and de Prado, M. The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-normality (2014). Link
  • Harvey. C., Liu, Y. and Zhu, H. ... and the Cross-Section of Expected Returns (2013). SSRN
  • Bailey, D. et. al. Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance (2013). SSRN
  • Beaudan, P. Telling the Good from the Bad and the Ugly: How to Evaluate Backtested Investment Strategies (2013). SSRN
  • McLean, D. and Pontiff, J. Does Academic Research Destroy Stock Return Predictability? (2012) SSRN

Performance Chasing

  • Brightman, C., Li, F. and Liu, X. Chasing Performance with ETFs (2015). Link
  • Hsu, J., Myers, B. and Whitby, R. Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies (2015). SSRN
  • Evans, R. Mutual Fund Incubation (2008). SSRN

Optimal Trading Rules without Backtesting

  • de Prado, M. Optimal Trading Rules Without Backtesting (2014). SSRN

Testing for Change in Performance

  • de Prado, M. and Foreman, M. A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm (2011). SSRN

Detecting accounting manipulation

  • Rauch, B., Goettsche, M. and Mouaaouy F. LIBOR Manipulation – Empirical Analysis of Financial Market Benchmarks Using Benford's Law (2013). SSRN
  • Grammatikos, T. and Papanikolaou, N. Using Benford's Law to Detect Fraudulent Practices in Banking (2013). SSRN

Investing in Art

  • Korteweg, A., Kraussl, R. and Verwijmeren, P. Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective (2013). SSRN

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