Detection of false investment strategies using unsupervised learning methods

DOI10.1080/14697688.2019.1622311zbMath1420.91426OpenAlexW3121800936WikidataQ127527886 ScholiaQ127527886MaRDI QIDQ5234380

Marcos López de Prado, Michael J. Lewis

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1622311

zbMATH Keywords

selection biasmachine learningmultiple testingbacktest overfittingquantitative investments

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10)

Related Items (1)

A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets

Uses Software

• Silhouettes

Cites Work

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• Silhouettes: a graphical aid to the interpretation and validation of cluster analysis
• A step-down multiple hypotheses testing procedure that controls the false discovery rate under independence.
• The control of the false discovery rate in multiple testing under dependency.
• Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
• Rectangular Confidence Regions for the Means of Multivariate Normal Distributions

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