34 citations · 85 across the 11 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
cs.LG2018
Monte Carlo Dependency Estimation
Edouard Fouché, Klemens Böhm
Estimating the dependency of variables is a fundamental task in data analysis. Identifying the relevant attributes in databases leads to better data understanding and also improves…
q-fin.ST2018
Connecting Sharpe ratio and Student t-statistic, and beyond
Eric Benhamou
Sharpe ratio is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the excess return over the strategy standard deviation.…