2 papers
q-fin.ST2026
Spurious Predictability in Financial Machine Learning
Sotirios D. Nikolopoulos
Adaptive specification search generates statistically significant backtests even under martingale-difference nulls. We introduce a falsification audit testing complete predictive w…
stat.ME2025
An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts
Sotirios D. Nikolopoulos
Evaluating rare-event forecasts is challenging because standard metrics collapse as event prevalence declines. Measures such as F1-score, AUPRC, MCC, and accuracy induce degenerate…