When do systematic strategies decay?

DOI10.1080/14697688.2022.2098810MaRDI QIDQ5051968zbMATH OpenOpenAlexFDO

Authors Antoine Falck, Adam Rej, David Thesmar

Publication date 18 November 2022

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2022.2098810

zbMATH Keywords

arbitragecovariatesdecayinvestment strategiesoverfitting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• Common risk factors in the returns on stocks and bonds

Cited in

(1)

• Investing in disappearing anomalies

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