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A Data Science Solution to the Multiple-Testing Crisis in Financial Research
13 references·3 citing·38 second hop
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References

  • 1994The Sharpe Ratio2,645 cited
  • 1997I Just Ran Two Million Regressions2,325 cited
  • 2002The Statistics of Sharpe Ratios856 cited
  • 1935Il calcolo delle assicurazioni su gruppi di teste434 cited
  • 2018Advances in Financial Machine Learning347 cited
  • 2014Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance219 cited
  • 2012The Sharpe ratio efficient frontier190 cited
  • 1975Adjusting for Risk in Portfolio Performance Measurement187 cited
  • 2016The probability of backtest overfitting127 cited
  • 2014The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality124 cited
  • 2007Stupid Data Miner Tricks115 cited
  • 2007Stupid Data Miner Tricks: Overfitting the S&P 50065 cited
  • 2019Detection of false investment strategies using unsupervised learning methods42 cited

Cited by

  • 2025Artificial Intelligence vs. Efficient Markets: A Critical Reassessment of Predictive Models in the Big Data Era35 cited
  • 2019Beyond Econometrics: A Roadmap Towards Financial Machine Learning33 cited

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  • 2023Causal Factor Investing26 cited