A Practical Solution to the Multiple-Testing Crisis in Financial Research

Author:

Lopez de Prado Marcos

Publisher

Elsevier BV

Reference18 articles.

1. Ethical guidelines for statistical practice;Committee on Professional Ethics. Approved by the Board of Directors,1999

2. Pseudo-mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance;D Bailey;Notices of the American Mathematical Society,2014

3. The Probability of Backtest Overfitting;D Bailey;Journal of Computational Finance,2017

4. The Sharpe ratio efficient frontier;D Bailey;Journal of Risk,2012

5. The deflated Sharpe ratio: Correcting for selection bias, backtest overfitting and non-normality;D Bailey;Journal of Portfolio Management,2014

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