Assessing the Risk and Return of Financial Trading Systems - a Large Deviation Approach

Abstract : We apply large deviation theory to assess the probability that a trading system performs below or above a certain threshold. Our technique does not require that the distribution of the performance criterion obeys a closed-form equation, and can accept as input empirical distributions given under the form of frequency histograms obtained by backtesting or from prior use of the trading system. A nice property of the technique is that it can be easily automated and integrated into a trading platform. Furthermore, the approach is not limited to a single trading system but can be applied on portfolio of trading systems.
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Communication dans un congrès
6th International Conference on Computational Intelligence in Economics and Finance - CIEF 2007, Jul 2007, Salt-Lake City, United States. World Scientific Publishing, pp.508-514, 2007, INFORMATION SCIENCES 2007 - Proceedings of the 10th Joint Conference. 〈10.1142/9789812709677_0074〉
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https://hal.inria.fr/inria-00168274
Contributeur : Nicolas Navet <>
Soumis le : lundi 27 août 2007 - 10:38:39
Dernière modification le : jeudi 11 janvier 2018 - 06:25:24
Document(s) archivé(s) le : vendredi 9 avril 2010 - 01:10:19

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CIEF2007_NN_RS_AT.pdf
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Nicolas Navet, René Schott. Assessing the Risk and Return of Financial Trading Systems - a Large Deviation Approach. 6th International Conference on Computational Intelligence in Economics and Finance - CIEF 2007, Jul 2007, Salt-Lake City, United States. World Scientific Publishing, pp.508-514, 2007, INFORMATION SCIENCES 2007 - Proceedings of the 10th Joint Conference. 〈10.1142/9789812709677_0074〉. 〈inria-00168274〉

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