Statistics
The statistical results a backtest relies on, each with its formula, its source and what it changes in practice.
12 notes
Regime Changes in Financial Markets (Ang-Timmermann Review)
Why Prices Are a Martingale: Bachelier (1900) and Samuelson (1965)
Correlation Matrices When Assets Outnumber Observations
Efron's Bootstrap: Resampling the Sample to Get a Standard Error
Extreme Value Theory for Tail Risk
Volatility Models: GARCH, Realized Volatility, HAR
Granger Causality Measures Prediction, Which Is Weaker Than Cause (Granger, Pearl)
Pesaran-Timmermann Test of Directional Accuracy
The Standard Error of a Sharpe Ratio, and What Autocorrelation Does to It
Slutsky Effect: A Moving Average of Noise Manufactures Cycles