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Generate P Value from stationary bootstrap following Politis & Romano (1994)

For my master thesis I am analyzing the performance of trading strategies. For this I need to avoid data snooping by utilising the FDR approach. I follow closely the procedure presented by Bajgrowicz &...
3
votes
1answer
96 views

Proof that linear returns aggregate across securities

I keep reading that linear returns aggregate across securities, but I'm having trouble proving it. I suspect there's some mistake in my approach; I'd appreciate some help in seeing it. Suppose we ...
0
votes
0answers
39 views

dynamic programming with serially independent returns

Book suggests that "asset returns are assumed to be serially independent, so wealth is a single state connecting one period to the next". I understand path dependency is lost in case of serial ...
2
votes
0answers
74 views

robust regions in grid search

I have a strategy f that takes parameters x,y (for x,y taking values in integer ranges). I get two grids (of returns and volatility values) from computing f(xi,yi) for integer ranges x1 <= xi <= ...