How hard is it to pick the right model? MCS and backtest overfitting.
Diego AparicioMarcos López de PradoPublished in: Algorithmic Finance (2018)
Keyphrases
- probabilistic model
- mathematical model
- statistical model
- probability distribution
- decision making
- feature space
- hybrid model
- theoretical framework
- database
- cost function
- prior knowledge
- high level
- closed form
- experimental data
- conceptual model
- network model
- hidden markov models
- computational model
- theoretical analysis
- maximum likelihood
- artificial neural networks
- objective function
- similarity measure
- e learning
- search engine
- learning algorithm
- real time