Computing the Probability of Over-Fitting in the Back-Testing and Optimization of Investment Strategies

2013 ◽  
Author(s):  
Marcos Lopez de Prado
Keyword(s):  
Investment Strategies ◽  
Back Testing ◽  
Fitting In

On Back-Testing “Zero-Investment” Strategies

CFA Digest ◽  
2000 ◽  
Vol 30 (4) ◽  
pp. 54-55
Author(s):  
Johann U. de Villiers
Keyword(s):  
Investment Strategies ◽  
Back Testing

On Back‐Testing “Zero‐Investment” Strategies

2000 ◽  
Vol 73 (2) ◽  
pp. 255-278 ◽  
Author(s):  
Gordon J. Alexander
Keyword(s):  
Investment Strategies ◽  
Back Testing

Background Fitting in the Low-Loss Region of Electron Energy Loss Spectra

1990 ◽  
Vol 48 (2) ◽  
pp. 56-57
Author(s):  
C P Scott ◽  
A J Craven ◽  
C J Gilmore ◽  
A W Bowen
Keyword(s):  
Energy Loss ◽  
Multiple Scattering ◽  
Simple Form ◽  
Single Scattering ◽  
Low Loss ◽  
Characteristic Energy ◽  
Normal Method ◽  
Fitting In ◽  
Electron Energy Loss ◽  
Electron Energy Loss Spectra

The normal method of background subtraction in quantitative EELS analysis involves fitting an expression of the form I=AE-r to an energy window preceding the edge of interest; E is energy loss, A and r are fitting parameters. The calculated fit is then extrapolated under the edge, allowing the required signal to be extracted. In the case where the characteristic energy loss is small (E < 100eV), the background does not approximate to this simple form. One cause of this is multiple scattering. Even if the effects of multiple scattering are removed by deconvolution, it is not clear that the background from the recovered single scattering distribution follows this simple form, and, in any case, deconvolution can introduce artefacts.The above difficulties are particularly severe in the case of Al-Li alloys, where the Li K edge at ~52eV overlaps the Al L2,3 edge at ~72eV, and sharp plasmon peaks occur at intervals of ~15eV in the low loss region. An alternative background fitting technique, based on the work of Zanchi et al, has been tested on spectra taken from pure Al films, with a view to extending the analysis to Al-Li alloys.

Isokinetic Back Testing in the Athlete

1993 ◽  
Vol 12 (3) ◽  
pp. 529-546 ◽  
Author(s):  
Penny D. Flory ◽  
Dennis W. Rivenburgh ◽  
John T. Stinson
Keyword(s):  
Back Testing

Pricing models of shares of Russian companies and their practical application

2019 ◽  
pp. 48-76 ◽  
Author(s):  
Alexander E. Abramov ◽  
Alexander D. Radygin ◽  
Maria I. Chernova
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Factor Model ◽  
Investment Strategies ◽  
Pricing Models ◽  
Foreign Portfolio Investment ◽  
Market Portfolio ◽  
Stock Market Performance ◽  
Long Time ◽  
Russian Stock Market

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

The relation between R&D accounting treatment and the risk of the firm: Evidence from the Italian market

2014 ◽  
pp. 33-54 ◽  
Author(s):  
Riccardo Cimini ◽  
Alessandro Gaetano ◽  
Alessandra Pagani
Keyword(s):  
Earnings Management ◽  
Fiscal Year ◽  
Investment Strategies ◽  
Capital Assets ◽  
Italian Market ◽  
D Investment ◽  
Firm Evidence

In this paper, we investigate the relation between the different accounting treatments of R&D expenditures and the risk of the entity in order to identify under which treatment insiders are more likely to carry out earnings management. By analysing the R&D investment strategies of a sample of 137 listed Italian entities that complied with the requirements of IAS 38 during fiscal year 2009, following Lantz and Sahut (2005), we calculate several indexes that show the preferences of insiders to account R&D expenditures as costs or capital assets, and we study the relation of such preferences with the risk of the entity, which we measure with the unlevered beta. We hypothesize that the entities, which considered the R&D investments as costs, are the riskiest ones due to the higher probability that insiders carried out earnings management. Our results confirm such hypothesis. This paper could have implications for academics and standard setters that could learn that behind accounting discretion, insiders could opportunistically behave against outsiders.

Ortho-k lenses fitting in patients with “non-typical” corneas

The Eye ◽  
2020 ◽  
Vol 22 (129) ◽  
pp. 22-29
Author(s):  
Svetlana Kravchuk ◽  
Olga Zhabina
Keyword(s):  
Correction Method ◽  
Diameter Ratio ◽  
Corneal Curvature ◽  
Individual Approach ◽  
Fitting In ◽  
Corneal Diameter ◽  
Clinical Cases

We described two clinical cases of ortho-k lenses fitting in patients with “non-typical” corneal curvature/diameter ratio. The main goal was to acknowledge effective and safe use of this myopia correction method in patients with corneal diameter greater than 11 mm. Individual approach to each patient is the key to a successful and safe ortho-k lenses fitting.

Response fitting in low-cost radiation sensors

2010 ◽  
Vol 1 (08) ◽  
pp. 920-925
Author(s):  
A. Gómez Moreno ◽  
P.J. Casanova Peláez ◽  
F.A. Díaz Garrido ◽  
J.M. Palomar Carnicero ◽  
R. López García ◽  
...  
Keyword(s):  
Low Cost ◽  
Fitting In ◽  
Radiation Sensors
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