False Discoveries in Currency Analysis
A new method, robust to data dependence and estimation errors, is developed to assess predictive models' performance, when applied to currency technical trading rules, it yields a Sharpe ratio around one for about 50 years.
Featured in No. 43 on 3 Apr 2024 · 28 days after release
- Released
- 6 Mar 2024
- First featured
- No. 43 · 3 Apr 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4781905
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