scholarly journals A Bayesian Approach to Measurement of Backtest Overfitting

Risks ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 18
Author(s):  
Jiří Witzany
Keyword(s):  
Bayesian Approach ◽  
Performance Indicators ◽  
Multiple Testing ◽  
Historical Data ◽  
Broad Class ◽  
Investment Strategies ◽  
Robust Estimates ◽  
Expected Performance ◽  
Mcmc Simulation ◽  
Naive Approach

Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical techniques to prevent model overfitting such as out-sample backtesting turn out to be unreliable in situations when the selection is based on results of too many models tested on the holdout sample. There is an ongoing discussion of how to estimate the probability of backtest overfitting and adjust the expected performance indicators such as the Sharpe ratio in order to reflect properly the effect of multiple testing. We propose a consistent Bayesian approach that yields the desired robust estimates on the basis of a Markov chain Monte Carlo (MCMC) simulation. The approach is tested on a class of technical trading strategies where a seemingly profitable strategy can be selected in the naïve approach.

scholarly journals Effectiveness evaluation for geothermal heat recovery in closed mines of Donbas

2020 ◽  
Vol 201 ◽  
pp. 01008
Author(s):  
Dmytro Rudakov ◽  
Oleksandr Inkin ◽  
Nataliia Dereviahina ◽  
Vadym Sotskov
Keyword(s):  
Performance Indicators ◽  
Heat Recovery ◽  
Evaluation Method ◽  
Feasibility Studies ◽  
Effectiveness Evaluation ◽  
Geothermal Heat ◽  
Heat Transfer Theory ◽  
Expected Performance ◽  
Mine Condition ◽  
Exchange Parameters

The study aims to develop a method of effectiveness evaluation for geothermal heat recovery in closed mines of Donbas using relations of heat transfer theory in rocks and fluids. Geothermal heat is proposed to recover using coaxial geothermal probes to be installed in flooded closed mines. As a result of evaluation and ranking, five top promising sites with the highest expected performance indicators among 27 closed mines located in Donbas have been identified. The evaluation method takes into account geological settings, mine condition, and heat exchange parameters of the probe with mine water. The locations of the most promising sites were found to correlate with the areas of higher geothermal flux and the deeper mines. The results obtained can be used in feasibility studies on installation and operation of geothermal probes in closed mines.

Bayesian Techniques in Spatial and Network Econometrics: 2. Computational Methods and Algorithms

1995 ◽  
Vol 27 (4) ◽  
pp. 615-644 ◽  
Author(s):  
L W Hepple
Keyword(s):  
Bayesian Approach ◽  
Spatial Econometrics ◽  
Broad Class ◽  
Bayesian Computation ◽  
Model Estimation ◽  
Great Cost ◽  
Considerable Potential ◽  
Bayesian Techniques ◽  
Recent Developments ◽  
The Bayesian Approach

Bayesian theory has been seen as having considerable potential and attractiveness for model estimation and analysis in spatial and network econometrics. However, analytical and computational problems have also been seen as a great barrier. In this paper the analytical simplifications available are developed and the algorithms required are examined. The author argues that, for a broad class of models in spatial econometrics, Bayesian analysis is quite practicable and can be implemented without great cost. The spatial specifications are mapped into the various forms of Bayesian computation available and detailed examples are provided. Recent developments on the frontier of Bayesian computation have potential to expand further the practical applicability of the Bayesian approach to spatial econometrics.

scholarly journals A Bayesian Approach for Asset Allocation

2020 ◽  
Vol 9 (4) ◽  
pp. 1 ◽  
Author(s):  
Mihnea S. Andrei ◽  
John S. J. Hsu
Keyword(s):  
Sensitivity Analysis ◽  
Covariance Matrix ◽  
Test Data ◽  
Bayesian Approach ◽  
Asset Allocation ◽  
Historical Data ◽  
Bayesian Framework ◽  
Data Set ◽  
Model Section ◽  
And Performance

The Black-Litterman model combines investors’ personal views with historical data and gives optimal portfolio weights. In this paper we will introduce the original Black-Litterman model (Section 1), we will modify the model such that it fits in a Bayesian framework by considering the investors’ personal views to be a direct prior on the means of the returns and by including a typical Inverse Wishart prior on the covariance matrix of the returns (Section 2). We will also consider an idea of Leonard & Hsu [1992] for a prior on the logarithm of the covariance matrix (Section 3). Sensitivity analysis for the level of confidence that investors have in their own personal views was performed and performance of the models was assessed on a test data set consisting of returns over the month of January 2018.

scholarly journals Утицај показатеља пословање компанија на цијене акција на берзама у Босни и Херцеговини // Impact of Business Performance Indicators on Share Prices on Stock Exchanges in Bosnia and Herzegovina

2013 ◽  
Vol 11 (18) ◽  
pp. 253
Author(s):  
Џафер Алибеговић
Keyword(s):  
Bosnia And Herzegovina ◽  
Performance Indicators ◽  
Stock Prices ◽  
Business Performance ◽  
Market Price ◽  
Developed Countries ◽  
Stock Exchanges ◽  
Investment Strategies ◽  
Share Prices ◽  
Long Run

Резиме: Показатељи пословањa компаније који се добију прорачуном коефицијената рацио анализе, једна су од кључних референтних тачака инвестиционе анализе на тржиштима капитала како развијених земаља, тако и земаља са тржиштем капитала у развоју. Директна и позитивна релација показатеља пословања компанија и цијена њихових акција на берзама у овим земљама је доказана, као што је доказана и могућност употребе показатеља пословања за процјену будућег кретања цијена акција и будућих приноса на инвестицију. Насупрот, на берзама у Босни и Херцеговини директне релације између показатеља пословања компанија и тржишних цијена акција нема, те стога показатељи пословања не могу бити кориштени у процјени инвестиција на тржишту капитала, осим у посебним стратегијама и на дуги рок.Summary: Business performance indicators resulting from ratio analysis are one of the key benchmarks of investment analysis on capital markets, both developed countries and countries with emerging markets. Direct and positive relations between business performance and share prices on the stock exchanges of these countries has been demonstrated, along with the possibility of using performance indicators to predict future trends in stock prices and future returns on investment. In contrast, direct relationship between business performance and market price of the shares in the stock market in Bosnia and Herzegovina does not exists, therefore, business performance indicators cannot be used in an appraisal of the investment in the capital market instruments, except in special investment strategies and on the long run.

scholarly journals The Effectiveness of MRP System to Forecast the Accuracy Inventory Requirement

2018 ◽  
Vol 7 (4.1) ◽  
pp. 90
Author(s):  
Hairul Rizad Md Sapry ◽  
Lorio L’ wiey Anak Tawi ◽  
Abd Rahman Ahmad ◽  
Shathees Baskaran
Keyword(s):  
Customer Service ◽  
Performance Indicators ◽  
Historical Data ◽  
Qualitative Case Study ◽  
Multinational Organization ◽  
Study Approach ◽  
Central Engine ◽  
Accurate Forecast ◽  
Stock Model

The implementation of MRP systems play a crucial role in today's manufacturing process in providing valuable information not only to both marketing and manufacturing team, but the organization as a whole. Yet, MRP system does not possess the capability of doing everything. There are few limitations within MRP system in relation to flexibility and adaptability to the changes of the external environment. The objective of the study is to investigate the capability of MRP system in providing an accurate forecast for the inventory requirement. The study was conducted through a qualitative case study approach by analyzing historical data of a single multinational organization which is currently implementing MRP system in managing their inventory. Few supply chain performance indicators were applied to measure the effectiveness of MRP system in managing the inventory process. The result revealed that MRP system under investigation is the central engine for managing inventory and ensuring customer service. However, MRP system require valid and reliable data optimized by a set of pre-defined parameters to run effectively with possible interface with other supporting software.  This study suggests other supporting software such as Stock Model to be interfaced with the MRP system for greater flexibility and adaptability in respond to foreseeable or unforeseeable external changes. 

Algorithmic Models of Investor Behavior

2021 ◽  
Vol 1 (1) ◽  
pp. 1-29
Author(s):  
Andrew Lo ◽  
Alexander Remerov
Keyword(s):  
Behavioral Finance ◽  
Historical Data ◽  
Asset Returns ◽  
Investor Behavior ◽  
Investment Strategies ◽  
Investment Performance ◽  
Evolutionary Forces ◽  
Asset Class ◽  
Functional Forms ◽  
The Mean

We propose a heuristic approach to modeling investor behavior by simulating combinations of simpler systematic investment strategies associated with well-known behavioral biases—in functional forms motivated by an extensive review of the behavioral finance literature—using parameters calibrated from historical data. We compute the investment performance of these heuristics individually and in pairwise combinations using both simulated and historical asset-class returns. The mean-reversion or momentum nature of a heuristic can often explain its effect on performance, depending on whether asset returns are consistent with such dynamics. These algorithms show that seemingly irrational investor behavior may, in fact, have been shaped by evolutionary forces and can be effective in certain environments and maladaptive in others.

scholarly journals HASIL DAN RISIKO PORTOFOLIO BERBASIS SINGLE-INDEX MODEL SEBAGAI STRATEGI INVESTASI PADA PASAR MODAL

2019 ◽  
Vol 4 (1) ◽  
pp. 96-121
Author(s):  
Doni Teguh Wibowo ◽  
Adita Nafisa ◽  
RM. Mahrus Alie
Keyword(s):  
Capital Market ◽  
Decision Process ◽  
Capital Investment ◽  
Historical Data ◽  
Investment Decision ◽  
Risk Level ◽  
Investment Strategies ◽  
Single Index ◽  
Index Model ◽  
Single Index Model

ABSTRACTThis research aims to analyze how much the return and risk level of stocks listed on index LQ45, index shares, in order to determine the portofolio optimal using a single index model, to analyze the combination of stocks included in the portofolio optimal to give return and risk portofolio.The investment decision process is a continuous decision process. This investment decision process goes on and on until the best investment decision. Stock return is income that is expressed as a percentage of the initial capital investment, profits can be in the form of return that have already or expected. Realized return is a profit that has occurred, calculated based on historical data which is also useful as a basis for determining expected profits and risk in the future. Beta is a measure of the systematic risk of a stock portofolio relative to the market risk. General, beta measures the sensitivity of the profit level of a stock against the level of profit sensitivity of a market portofolio. Beta stocks are very useful to measure how much the level of courage of investors about risk. To anticipating the risk that will be faced by investors, a method is needed to minimize the risk, while still optimizing the return to be obtained. To minimize risk and optimize the return of the investments is to diversify stocks, namely to arrange an portofolio optimal consisting of stock instruments traded on the IDX, while the method is an optimal portofolio based on a single index model, this method is calculation the stocks to help investors to determine whether a stocks can be included in the portofolio optimal and determine which stock combinations provide to optimal return. In addition to, forming a portofolio and stock combination investors are expected to make investment strategies in the capital market both active strategies or passive strategies.From the results of the analysis of the study of 45 stocks incorporated in the LQ45 index there were 37 liquid stocks from January 2017 to December 2017, obtained 14 stocks from 37 stocks formed in the portofolio optimal based on the cut off point value of 0.81883 with a return portofolio rate of 13.16 % with risk portofolio level of 0.000047%, this risk is smaller than investment in individual stocks directly. That on individual stocks the higher the risk value, the higher the level of return.Key words: return, risk, single index model, portofolio optimal, and investment strategies

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