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seen Sep 30 '14 at 20:39

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comment Running a simple alpha estimation test for statistical significance of a signal
They way you ask your question makes me think that you are looking for somekind of bootstrap test. A related paper on that would be : Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev. Of course this will not actually tell you if you have found alpha. For this I think you should be looking at parametrical test.
Sep
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reviewed Approve Hedging stocks with VIX futures
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21
awarded  Custodian
Aug
15
reviewed Approve portfolio optimisation with VaR (or CVaR) constraints
Jul
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comment Is it more accurate to analyze returns on a calendar day basis than a trading day basis?
Agree with @chrisaycock and JL344. It is definetly not standard but assuming friday to monday returns come from the same distribution as thursday to friday is a bit insane. (most people might be)
Jul
17
comment Multilayer Perceptron (Neural Network) for Time Series Prediction
@lehalle excellent answser
Jul
5
comment How to better understand trading signals?
The problem with Principle component analysis is that you moght lose information about what really drives your returns. Also as a rule of thumbs, before assuming that you have a non linear relationship make sure that a linear methods realy results in underfitting your problem. If you want to reduce the number of variables you could use shrinkage regression for example.