Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

DOI10.1090/noti1105zbMath1338.91157OpenAlexW3125595766WikidataQ55969708 ScholiaQ55969708MaRDI QIDQ2813246

Jonathan M. Borwein, Qiji J. Zhu, David H. Bailey, Marcos López de Prado

Publication date: 15 June 2016

Published in: Notices of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/noti1105

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Sociology (and profession) of mathematics (01A80)

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