Related papers: A general randomized test for Alpha
This paper proposes an imputation procedure that uses the factors estimated from a tall block along with the re-rotated loadings estimated from a wide block to impute missing values in a panel of data. Assuming that a strong factor…
We propose the Cyclic Permutation Test (CPT) to test general linear hypotheses for linear models. This test is non-randomized and valid in finite samples with exact Type I error $\alpha$ for an arbitrary fixed design matrix and arbitrary…
To reject the Efficient Market Hypothesis a set of 5 technical indicators and 23 fundamental indicators was identified to establish the possibility of generating excess returns on the stock market. Leveraging these data points and various…
We introduce a unified approach to testing a variety of rather general null hypotheses that can be formulated in terms of covariances matrices. These include as special cases, for example, testing for equal variances, equal traces, or for…
We propose a universal end-to-end framework for portfolio optimization where asset distributions are directly obtained. The designed framework circumvents the traditional forecasting step and avoids the estimation of the covariance matrix,…
Simultaneous testing of one hypothesis at multiple alpha levels can be performed within a conventional Neyman-Pearson framework. This is achieved by treating the hypothesis as a family of hypotheses, each member of which explicitly concerns…
This paper focuses on the problem of testing the null hypothesis that the regression functions of several populations are equal under a general nonparametric homoscedastic regression model. It is well known that linear kernel regression…
We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications typically there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To…
We propose a novel method for testing the null hypothesis of no effect of a covariate on the response in the context of functional linear concurrent regression. We establish an equivalent random effects formulation of our functional…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…
Recurrence quantification analysis (RQA) is a well established method of nonlinear data analysis. In this work we present a new strategy for an almost parameter-free RQA. The approach finally omits the choice of the threshold parameter by…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing…
We describe an embarrassingly parallel, anytime Monte Carlo method for likelihood-free models. The algorithm starts with the view that the stochasticity of the pseudo-samples generated by the simulator can be controlled externally by a…
While traditional equity factor investing relies heavily on slow-moving fundamental accounting metrics, these models frequently suffer from factor crowding and miss real-time, sentiment-driven market dislocations. This study explores how…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…
We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation coefficient or Kendall's Tau, we consider the entire…
A simple statement and accessible proof of a version of the Fundamental Theorem of Asset Pricing in discrete time is provided. Careful distinction is made between prices and cash flows in order to provide uniform treatment of all…