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Probabilistic Sharpe Ratio

20/05/2020

Can a Sharpe ratio of 1.55 be better than a Sharpe ratio of 1.63 in a 1 year track-record? Not necessarily. Sharpe ratios are not comparable, unless we control the skewness and kurtosis of the returns.

Probabilistic Sharpe Ratio

20/05/2020

Rubén Briones

What is the difference between parameters and hyperparameters?

13/05/2020

aporras

Can neural networks predict the stock market just by reading newspapers?

06/05/2020

Juan Luis Ruiz Tagle

Understanding Neural Networks (with Graphs)

29/04/2020

Pablo Leo

Hedging an Option through the Black-Scholes model in discrete time

22/04/2020

Ricardo Moreno

A primer on embedded currency risk

15/04/2020

Juan Martínez

The other way around: from correlations to returns

08/04/2020

Enrique Millán

Predicting the fall: Revisiting the “Forecasting VIX peaks” experiment.

01/04/2020

Fernando De Meer

Is robustness an ally?

18/03/2020

Javier Cárdenas

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Alejandro Pérez

Factor Exposure: The Turn of The Screw

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J. González

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mgreco

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aporras

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libesa

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j3