Showing 1 - 8 of 8 Items
The Influence of Polymers on the Solubility of Flufenamic Acid and Mefenamic Acid Cocrystals This record is embargoed.
- Embargo End Date: 2027-05-16
Date: 2024-01-01
Creator: Morgan Adams
Access: Embargoed
Origin of Rhyolite from Magma Mush: Plutonic Lithics from the Ohakuri Ignimbrite, Taupō Volcanic Zone, New Zealand This record is embargoed.
- Embargo End Date: 2027-05-15
Date: 2024-01-01
Creator: Christine Reimer
Access: Embargoed
Characterisation of the Gryllus bimaculatus nervous system: insights into the role of the Spätzle1 and Spätzle5 proteins in the compensatory plasticity of the CNS Access to this record is restricted to members of the Bowdoin community. Log in here to view.
- Restriction End Date: 2028-06-01
Date: 2023-01-01
Creator: Sarah Lührmann
Access: Access restricted to the Bowdoin Community
Dispersive Shock Waves in Granular Chains This record is embargoed.
- Embargo End Date: 2026-05-18
Date: 2023-01-01
Creator: Ari Geisler
Access: Embargoed
An Investigation on Data Gaps in Scope 3 Emissions Accounting and Disclosure using 2010-2021 Carbon Disclosure Project (CDP) Questionnaire Responses This record is embargoed.
- Embargo End Date: 2027-05-17
Date: 2022-01-01
Creator: Samara Nassor
Access: Embargoed
Instability in a Time-Modulated Lattice This record is embargoed.
- Embargo End Date: 2025-05-19
Date: 2022-01-01
Creator: Evelyn Wallace
Access: Embargoed
The Structure and Unitary Representations of SU(2,1)
Date: 2015-05-01
Creator: Andrew J Pryhuber
Access: Open access
Extreme Value Theory and Backtest Overfitting in Finance
Date: 2015-05-01
Creator: Daniel C Byrnes
Access: Open access
- In order to identify potentially profitable investment strategies, hedge funds and asset managers can use historical market data to simulate a strategy's performance, a process known as backtesting. While the abundance of historical stock price data and powerful computing technologies has made it feasible to run millions of simulations in a short period of time, this process may produce statistically insignificant results in the form of false positives. As the number of configurations of a strategy increases, it becomes more likely that some of the configurations will perform well by chance alone. The phenomenon of backtest overfitting occurs when a model interprets market idiosyncrasies as signal rather than noise, and is often not taken into account in the strategy selection process. As a result, the finance industry and academic literature are rife with skill-less strategies that have no capability of beating the market. This paper explores the development of a minimum criterion that managers and investors can use during the backtesting process in order to increase confidence that a strategy's performance is not the result of pure chance. To do this we will use extreme value theory to determine the probability of observing a specific result, or something more extreme than this result, given that multiple configurations of a strategy were tested.