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Search: subject:"backtest"
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Theorie
28
Theory
28
Risikomaß
18
Risk measure
18
Portfolio selection
17
Portfolio-Management
17
Backtest
16
backtest
16
Statistical test
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backtest overfitting
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historical simulation
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multiple testing
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optimization
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Hoogerheide, Lennart F.
4
López de Prado, Marcos M.
4
Ravazzolo, Francesco
4
Witzany, Jiří
4
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3
Dijk, Herman K. van
3
Mögel, Benjamin
3
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2
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2
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2
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2
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2
Kou, Steven
2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
Firoozye, Nikan B.
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ECONIS (ZBW)
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21
Automated trading systems' evaluation using d-
Backtest
PS method and WM ranking in financial markets
Vezeris, Dimitrios
;
Kyrgos, Themistoklis
;
Karkanis, Ioannis
- In:
Investment management and financial innovations
17
(
2020
)
2
,
pp. 198-215
Persistent link: https://www.econbiz.de/10012303136
Saved in:
22
Optimization of backtesting techniques in automated high frequency trading systems using the d-
Backtest
PS method
Vezeris, D. Th.
;
Schinas, C. J.
;
Kyrgos, Th. S.
; …
- In:
Computational economics
56
(
2020
)
4
,
pp. 975-1054
Persistent link: https://www.econbiz.de/10012390502
Saved in:
23
The impact of data aggregation and risk attributes on stress testing models of mortgage default
Li, Feng
;
Zhang, Yan
- In:
The journal of credit risk : published quarterly by …
16
(
2020
)
3
,
pp. 35-74
Persistent link: https://www.econbiz.de/10012421199
Saved in:
24
Machine learning risk models
Kakushadze, Zura
;
Yu, Willie
- In:
Journal of risk & control
6
(
2019
)
1
,
pp. 37-64
Persistent link: https://www.econbiz.de/10012237599
Saved in:
25
Detection of false investment strategies using unsupervised learning methods
López de Prado, Marcos M.
;
Lewis, Michael J.
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1555-1565
Persistent link: https://www.econbiz.de/10012194806
Saved in:
26
Forecasting the impact of information security breaches on stock market returns and VaR
backtest
Colivicchi, Ilaria
;
Vignaroli, Riccardo
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 402-454
Persistent link: https://www.econbiz.de/10012210337
Saved in:
27
Decomposing and backtesting a flexible specification for CoVaR
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Paterlini, …
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012224757
Saved in:
28
Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix
;
Pitera, Marcin
- In:
Journal of risk
22
(
2019
)
1
,
pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
Saved in:
29
Profitability edge by dynamic back testing optimal period selection for technical parameters optimization, in trading systems with forecasting
Vezeris, D. Th.
;
Schinas, C. J.
;
Papaschinopoulos, G.
- In:
Computational economics
51
(
2018
)
4
,
pp. 761-807
Persistent link: https://www.econbiz.de/10011971261
Saved in:
30
Unbiased estimation of risk
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Journal of banking & finance
91
(
2018
),
pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
Saved in:
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