Randomized Control in Performance Analysis and Empirical Asset Pricing

By Cyril Bachelard, Apostolos Chalkis, Vissarion Fisikopoulos, Elias Tsigaridas

Published 2024-02-14

Everscope rating

1497

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Geometric Random Walks. Problem types: Portfolio Optimization, Factor Analysis, Performance Evaluation.

arXiv:2403.00009 · Code · Paper rankings

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