SSRNTrading, Microstructure & Execution
Predictive Sharpe Ratios
The study finds that trading strategies based on linear predictive models perform poorly due to overfitting when they involve many assets and weak trading signals.
Featured in No. 81 on 8 Jan 2025 · 1 day after release
- Released
- 7 Jan 2025
- First featured
- No. 81 · 8 Jan 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 14
- Identifier
- SSRN 5086171
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).