First Quarter (2017)

David H. Bailey, Jonathan M. Borwein and Marcos López de Prado In mathematical finance, backtest overfitting connotes the usage of historical market data to develop an investment strategy, where too many variations of the strategy are tried, relative to the amount of data available. Backtest overfitting is now thought to be a primary reason why… Read More

Joshua Livnat, Gavin Smith and Martin Tarlie One of the most crucial decisions for investors and plan sponsors is the selection of funds among the thousands of available alternatives.We find that regardless of the initial criterion used to rank funds based on past performance, more diversified top funds outperform concentrated top funds in the subsequent… Read More

Sonya Cates, Stephen Lawrence, Carla Penedo and Viktoriia Samatova Many investment professionals consider academic research instrumental in improving the quality of the investment process. However, it is hard to extract investment insights from the vast and rapidly expanding research corpus, which requires a large amount of time and human effort in order to absorb. We… Read More

Andrew W. Lo Breakthroughs in computing hardware, software, telecommunications, and data analytics have transformed the financial industry, enabling a host of new products and services such as automated trading algorithms, crypto-currencies, mobile banking, crowdfunding, and robo-advisors. However, the unintended consequences of technology-leveraged finance include firesales, flash crashes, botched initial public offerings, cybersecurity breaches, catastrophic algorithmic… Read More