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Research article

First published 2018-6-21

How hard is it to pick the right model? MCS and backtest overfitting

Diego Aparicio, Marcos López de Prado

Algorithmic Finance

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Research article

First published 2015-8

Backtesting of Value at Risk Methodology: Analysis of Banking Shares in India

Biswajit Patra, Puja Padhi

Margin: The Journal of Applied Economic Research

Open access

Research article

First published 2022-06

Data‐driven storage operations: Cross‐commodity backtest and structured policies

Christian Mandl, Selvaprabu Nadarajah, Stefan Minner [...]

Production and Operations Management

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Research article

First published 2014-12-5

Fast recursive portfolio optimization

Laurence Irlicht

Algorithmic Finance

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Research article

First published 2016-3

Value-at-Risk Estimation of Foreign Exchange Rate Risk in India

Onkar Shivraj Swami, Santosh Kumar Pandey, Puneet Pancholy

Asia-Pacific Journal of Management Research and Innovation

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Research article

First published 2009-5

Modified Estimators of the Expected Shortfall

Deepak Jadhav, T.V. Ramanathan, U.V. Naik-Nimbalkar

Journal of Emerging Market Finance

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Research article

First published 2023-12

Guidelines for building a realistic algorithmic trading market simulator for backtesting while incorporating market impact: Agent-Based Strategies in Neural Network Format,Ecosystem Dynamics & Detection

Babak Mahdavi-Damghani, Stephen Roberts

Algorithmic Finance

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Research article

First published 2022-11

Quantitative investment prediction analysis for enterprise asset management using machine learning algorithms

Gefei Sun

Journal of Computational Methods in Sciences and Engineering

Free access

Research article

First published 2017-12-21

Classification-based financial markets prediction using deep neural networks

Matthew Dixon, Diego Klabjan, Jin Hoon Bang

Algorithmic Finance

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Research article

First published 2019-8

A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods

Soumya Guha Deb

Journal of Emerging Market Finance

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