The False Strategy Theorem: A Financial Application of Experimental Mathematics

DOI10.1080/00029890.2021.1965068zbMath1477.62299OpenAlexW3214315279MaRDI QIDQ5163937

David H. Bailey, Marcos López de Prado

Publication date: 9 November 2021

Published in: The American Mathematical Monthly (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00029890.2021.1965068

zbMATH Keywords

mathematical financeexperimental mathematics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Foundations and philosophical topics in statistics (62A01) Methodology of mathematics (00A35) Financial markets (91G15)

Cites Work

• Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
• IX. On the problem of the most efficient tests of statistical hypotheses
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