Ғылыми еңбектер
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Plateaus, Peaks, and the Probability of Backtest Overfitting
Do plateau-shaped optima mean robust trading strategies? A controlled validation of parameter-robustness heuristics against PBO and the Deflated Sharpe Ratio (9,000 simulated optimization problems).
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How Many Correlated Signals Actually Diversify?
A controlled validation of effective-breadth approximations for trading-signal portfolios: the equicorrelation N_eff vs realized variance reduction and a correlated-Bernoulli capacity model (4,000 portfolios).
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Does Walk-Forward Validation Predict Out-of-Sample Performance?
The walk-forward efficiency ratio, its folk thresholds, anchored vs rolling windows, and window design — tested against known time-varying ground truth (8,000 validation problems).
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When Does Hierarchical Risk Parity Beat Markowitz?
A controlled comparison under known covariance: HRP vs sample and Ledoit–Wolf min-variance, 1/N and inverse variance, across structure families and T/N ratios (4,800 experiments).
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Conformal Prediction for Financial Returns: Where Coverage Survives and Where It Breaks
Marginal, volatility-conditional and post-break coverage of split conformal, normalized scores, CQR and Adaptive Conformal Inference against exact oracles (180 experiments × 14 methods).
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Do Bootstrap Confidence Intervals for Backtest Statistics Cover?
iid vs trade-level vs block bootstrap for Sharpe and maximum drawdown under serial dependence, with exactly known truth (6,000 coverage experiments).
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How Much Does Purging Actually Fix?
A controlled quantification of overlap leakage in time-series cross-validation: phantom skill as an overlap × persistence interaction, and what purging, embargo and walk-forward each buy.