HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Conference papers

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.
Complete list of metadata

Contributor : Nicolas Navet Connect in order to contact the contributor
Submitted on : Monday, August 27, 2007 - 10:38:39 AM
Last modification on : Friday, February 4, 2022 - 3:29:51 AM
Long-term archiving on: : Friday, April 9, 2010 - 1:10:19 AM


Files produced by the author(s)




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. pp.508-514, ⟨10.1142/9789812709677_0074⟩. ⟨inria-00168274⟩



Record views


Files downloads