4 citations · 4 across the 1 of their papers we have counts for
3 papers
q-fin.ST2019
How should you discount your backtest PnL?
Adam Rej, Philip Seager, Jean-Philippe Bouchaud
In-sample overfitting is a drawback of any backtest-based investment strategy. It is thus of paramount importance to have an understanding of why and how the in-sample overfitting…
q-fin.PM2017
You are in a drawdown. When should you start worrying?
Adam Rej, Philip Seager, Jean-Philippe Bouchaud
Trading strategies that were profitable in the past often degrade with time. Since unlucky streaks can also hit "healthy" strategies, how can one detect that something truly worryi…
q-fin.TR2015★ 4 cited
Optimal Trading with Linear and (small) Non-Linear Costs
A. Rej, R. Benichou, J. de Lataillade +2
We reconsider the problem of optimal trading in the presence of linear and quadratic costs, for arbitrary linear costs but in the limit where quadratic costs are small. Using match…