A Bayesian Approach to Backtest Overfitting


Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical techniques to prevent model over-fitting  turn out to be unreliable... [ view full abstract ]


  1. Jiri Witzany (University of Economics in Prague, Faculty of Finance and Accounting)

Topic Areas

Machine Learning , Robustness , Trading Strategies


WE-A-SW » Computational Finance (11:30 - Wednesday, 18th July, Swift)

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