3 papers
q-fin.TR2026
Non-unique time and market incompleteness
Chris Angstmann, Tim Gebbie
Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and wa…
q-fin.PM2025
The bias of IID resampled backtests for rolling-window mean-variance portfolios
Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie
Backtests on historical data are the basis for practical evaluations of portfolio selection rules, but their reliability is often limited by reliance on a single sample path. This…
q-fin.ST2024
Representation Learning for Regime detection in Block Hierarchical Financial Markets
Alexa Orton, Tim Gebbie
We consider financial market regime detection from the perspective of deep representation learning of the causal information geometry underpinning traded asset systems using a hier…