Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 22 for “"backtesting"”.
-
A reproducible approach to equity backtesting
Research findings relating to anomalous equity returns should ideally be repeatable by others. Usually, only a small subset of the decisions made in a particular backtest workflow are released, which limits reproducability. Data collection and cleaning, parameter setting, algorithm development and …
-
The design considerations and development of a simulator for the backtesting of investment strategies
… power. The technique of portfolio strategy backtesting as a vehicle to achieve improved predictive power is one that has existed within financial services for decades. Portfolio backtesting, as alluded to by its name, is the empirical testing of an investment strategy to determine how the …
-
Application of extreme value theory to the calculation of value-at-risk
… of South African stocks, using the standard backtesting technique.
-
Trading Algorítmico en el Mercado Argentino de Derivados
… histórico a través del proceso conocido como backtesting. La primera parte mostrará un marco teórico sobre el trading algorítmico. Se explica cómo fueron evolucionando los mercados en el mundo y cuáles son las formas de operar en la actualidad. Exponiendo las ventajas que tiene el trading …
-
Application of GARCH Type Models in Forecasting Value at Risk
… crucial for adequate capitalization, we perform backtesting on VaR forecasts and compare our suggested GARCH models, as well as different distributions for their innovations and confidence levels for VaR.
-
Statistical arbitrage in South African equity markets
… African equity market from 2001 to 2013 through backtesting. In addition the strategy is evaluated over data generated from Monte Carlo simulations as well as bootstrapped historical data. The results show that the strategy was able to significantly out-perform cash for most of the periods under …
-
A Quantitative Analysis of Women’s Health Investments
… feature space and clustering outcomes. Backtesting confirms the potential for these clustered portfolios to deliver competitive, risk-adjusted returns while aligning with gender-focused investment objectives. Overall, this research advances gender-lens investing by integrating machine …
-
Harnessing External Data in Public and Private Market Investing
… maps reviews. To test our ideas, we create a backtesting engine that simulates buying or short-selling stocks based on positive or negative changes in review scores, respectively, over varying time horizons, and holding the long or short positions for various lengths of time prior to exiting …
-
Risco de crédito em carteiras de baixa sinistralidade : determinação de probabilidades de incumprimento baseada na teoria da credibilidade : uma aplicação no sistema bancário português
… por conceder particular relevo aos exercícios de backtesting e benchmarking, dado que a correspondente avaliação não depende do contexto de funcionamento efectivo nos bancos. Os resultados dos testes sugerem que a metodologia proposta reúne condições para ser considerada compatível com as …
-
A Quantamental approach to Bitcoin trading: Are we swinging for the Fences?
… the involved models and nally the posterior backtesting strategies. Details about statistical foundation of the involved methods, algorithm complexity and implementation and domain explanations (such as those related to cryptocurrencies) can be found. The pipeline allows to gather enough …
-
Applications of machine learning in finance: analysis of international portfolio flows using regime-switching models
… process is also enabled. Innovations in backtesting and performance metrics are also made possible through the application of machine learning. Demonstrating a practical application of machine learning in quantitative finance, regime-switching models are applied to analyse and extract …
-
Domain knowledge integration in data mining for churn and customer lifetime value modelling: new approaches and applications
… the domain knowledge application. Finally, a<br/>backtesting framework is proposed for churn evaluation, enabling the validation and<br/>monitoring process for the generated churn models.
-
Hawkes processes and some financial applications
… include some variations introduced here. In a backtesting exercise, we compare the conditional VaR and ES forecasts found by using the marked Hawkes process models with those found via some nonstandard stochastic volatility (SV) models. We find that the marked Hawkes process models give mostly …
-
Essays on Quantitative Risk Management
… coincides with the recent financial crisis. The backtesting results acknowledge the new model's superiority on out-of-sample VaR forecasting over purely dynamic or static copula. It can serve to emphasise the relevance for risk management of appropriately modeling complex dependence structures. …
-
The impact of structured investment products with fixed-income characteristics on the performance of fixed-income portfolios
… given the nature of the data required for backtesting, a quantitative analysis was sought. This analysis led to the creation of three traditional portfolios mainly invested in bonds with a small portion also allocated to equities for which indices were used as proxies. Furthermore, another …
-
L'incidence des différents modèles de simulations sur les facteurs macroéconomiques de l'évaluation immobilière
… chacun des 185 mois de la période de validation (backtesting), qui va de février 2000 à juin 2015. Nos résultats indiquent que : les modèles conditionnels affichent des dispersions (moyennes des étendues) et des variabilités de dispersions (écarts-types des étendues) beaucoup plus faibles que les …
-
Some optimal control problems in financial and actuarial mathematics
… and a computer-aided proof. Simulations and backtesting results show that this trading strategy could provide considerable returns even in bearish markets, and outperform some well-recognized strategies, whence confirming the financial importance of this criterion.
-
Multimodal Data Fusion for Estimating Electricity Access and Demand
… a rigorous framework for cross-validation and backtesting model results. In our third technical chapter, we show how machine learning systems for probabilistic data fusion can be used for estimating electricity access rates at building-level resolutions in low-access countries. Estimating …
-
Correlation emergence in two coupled limit order books in the fluid limit
Weuse random walks to simulate the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffusion of orders coupled by a pairs trader profiting from the mean-reversion between the two order-books in the fluid limit …
Page 1 of 2