2 papers
q-fin.MF2025
In-Sample and Out-of-Sample Sharpe Ratios for Linear Predictive Models
Antoine Jacquier, Johannes Muhle-Karbe, Joseph Mulligan
We study how much the in-sample performance of trading strategies based on linear predictive models is reduced out-of-sample due to overfitting. More specifically, we compute the i…
q-fin.PR2025
Rough Bergomi turns grey
Antoine Jacquier, Adriano Oliveri Orioles, Zan Zuric
We propose a tractable extension of the rough Bergomi model, replacing the fractional Brownian motion with a generalised grey Brownian motion, which we show to be reminiscent of mo…