Futuretesting Quantitative Strategies

DA Bloch - Available at SSRN 4647103, 2023 - papers.ssrn.com
Building quantitative strategies with a Backtesting engine leads to overfitting, which
produces results that cannot be replicated in the future. To assess the robustness of a …

Advancing IoT Data Utilization: Generating and Evaluating Synthetic Time Series Data

RL Portase, AM Dragotoniu, C Lemnaru… - 2024 IEEE 20th …, 2024 - ieeexplore.ieee.org
Synthetic data generation plays a crucial role in various domains where access to real-world
datasets is limited or restricted due to legal, ethical, or privacy concerns. Given the growing …

Learning The Pricing Kernel: Applications To Option Pricing

DA Bloch - Available at SSRN 4394689, 2023 - papers.ssrn.com
We seek to estimate a portfolio of option prices in an entirely data driven way, at any future
time, for trading and risk management purposes in a model independent way. We do not …