AlgoXpert Alpha Research Framework. A Rigorous IS WFA OOS Protocol for Mitigating Overfitting in Quantitative Strategies
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | Pham, The Anh, Nguyen, Bao Chan, Thi, Nguyet Nguyen |
|---|---|
| Format: | Preprint |
| Publié: |
2026
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
Documents similaires
Not All Factors Crowd Equally: Modeling, Measuring, and Trading on Alpha Decay
par: Lee, Chorok
Publié: (2025)
par: Lee, Chorok
Publié: (2025)
Mean-Covariance Robust Risk Measurement
par: Nguyen, Viet Anh, et autres
Publié: (2021)
par: Nguyen, Viet Anh, et autres
Publié: (2021)
Increase Alpha: Performance and Risk of an AI-Driven Trading Framework
par: Ghatak, Sid, et autres
Publié: (2025)
par: Ghatak, Sid, et autres
Publié: (2025)
3S-Trader: A Multi-LLM Framework for Adaptive Stock Scoring, Strategy, and Selection in Portfolio Optimization
par: Chen, Kefan, et autres
Publié: (2025)
par: Chen, Kefan, et autres
Publié: (2025)
Robust and Sparse Portfolio Selection: Quantitative Insights and Efficient Algorithms
par: Chen, J., et autres
Publié: (2024)
par: Chen, J., et autres
Publié: (2024)
Mitigating Extremal Risks: A Network-Based Portfolio Strategy
par: Hui, Qian, et autres
Publié: (2024)
par: Hui, Qian, et autres
Publié: (2024)
Quantitative Investment Diversification Strategies via Various Risk Models
par: Gharanchaei, Maysam Khodayari, et autres
Publié: (2024)
par: Gharanchaei, Maysam Khodayari, et autres
Publié: (2024)
Discovery of a 13-Sharpe OOS Factor: Drift Regimes Unlock Hidden Cross-Sectional Predictability
par: Singha, Mainak
Publié: (2025)
par: Singha, Mainak
Publié: (2025)
Extracting Alpha from Financial Analyst Networks
par: Gorduza, Dragos, et autres
Publié: (2024)
par: Gorduza, Dragos, et autres
Publié: (2024)
Outperforming a Benchmark with $α$-Bregman Wasserstein divergence
par: Pesenti, Silvana M., et autres
Publié: (2026)
par: Pesenti, Silvana M., et autres
Publié: (2026)
Evaluating Structured Strategy Backtests: Peer Benchmarks, Regime Timing, and Live Performance
par: Liu, Chang
Publié: (2026)
par: Liu, Chang
Publié: (2026)
The Engineering of Skew: A Path-Dependent Framework for Asymmetric Volatility Management
par: Fanous, Gregory A.
Publié: (2026)
par: Fanous, Gregory A.
Publié: (2026)
A General Framework for Portfolio Construction Based on Generative Models of Asset Returns
par: Cheng, Tuoyuan, et autres
Publié: (2023)
par: Cheng, Tuoyuan, et autres
Publié: (2023)
Application and practice of AI technology in quantitative investment
par: Bi, Shuochen, et autres
Publié: (2024)
par: Bi, Shuochen, et autres
Publié: (2024)
A Framework for the Construction of a Sentiment-Driven Performance Index: The Case of DAX40
par: Billert, Fabian, et autres
Publié: (2024)
par: Billert, Fabian, et autres
Publié: (2024)
Distributional Portfolio Optimization (DPO): A Unified Framework for Distributions over Weights, Returns, and Parameters
par: Alonso, Miquel Noguer i
Publié: (2026)
par: Alonso, Miquel Noguer i
Publié: (2026)
A Deep Reinforcement Learning Framework for Dynamic Portfolio Optimization: Evidence from China's Stock Market
par: Huang, Gang, et autres
Publié: (2024)
par: Huang, Gang, et autres
Publié: (2024)
Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity
par: Kothari, Saumya, et autres
Publié: (2024)
par: Kothari, Saumya, et autres
Publié: (2024)
Constructing a Portfolio Optimization Benchmark Framework for Evaluating Large Language Models
par: Cho, Hanyong, et autres
Publié: (2026)
par: Cho, Hanyong, et autres
Publié: (2026)
Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management
par: Lucius, Travon, et autres
Publié: (2025)
par: Lucius, Travon, et autres
Publié: (2025)
Robustifying Conditional Portfolio Decisions via Optimal Transport
par: Nguyen, Viet Anh, et autres
Publié: (2021)
par: Nguyen, Viet Anh, et autres
Publié: (2021)
Novel Risk Measures for Portfolio Optimization Using Equal-Correlation Portfolio Strategy
par: Chakraborty, Biswarup
Publié: (2025)
par: Chakraborty, Biswarup
Publié: (2025)
NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading
par: Liu, Hsiang-Hui, et autres
Publié: (2023)
par: Liu, Hsiang-Hui, et autres
Publié: (2023)
Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
par: Alexander, Nolan, et autres
Publié: (2026)
par: Alexander, Nolan, et autres
Publié: (2026)
A Levered ETF Anomaly Explained
par: Bianchi, Stephen W., et autres
Publié: (2026)
par: Bianchi, Stephen W., et autres
Publié: (2026)
A Dynamic Model of Private Asset Allocation
par: Chen, Hui, et autres
Publié: (2025)
par: Chen, Hui, et autres
Publié: (2025)
A Causal Perspective of Stock Prediction Models
par: Xu, Songci, et autres
Publié: (2025)
par: Xu, Songci, et autres
Publié: (2025)
A Unified Theory of Ownership Concentration, Overlap, and Dependence
par: Alonso, Miquel Noguer i, et autres
Publié: (2026)
par: Alonso, Miquel Noguer i, et autres
Publié: (2026)
A mixture transition distribution approach to portfolio optimization
par: De Blasis, Riccardo, et autres
Publié: (2025)
par: De Blasis, Riccardo, et autres
Publié: (2025)
A Practitioner's Guide to AI+ML in Portfolio Investing
par: Fan, Mehmet Caner Qingliang
Publié: (2025)
par: Fan, Mehmet Caner Qingliang
Publié: (2025)
Asset and Factor Risk Budgeting: A Balanced Approach
par: Cetingoz, Adil Rengim, et autres
Publié: (2023)
par: Cetingoz, Adil Rengim, et autres
Publié: (2023)
A Global Optimal Theory of Portfolio beyond R-$σ$ Model
par: Liu, Yifan, et autres
Publié: (2026)
par: Liu, Yifan, et autres
Publié: (2026)
Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence
par: Lis, Szymon
Publié: (2024)
par: Lis, Szymon
Publié: (2024)
The New Quant: A Survey of Large Language Models in Financial Prediction and Trading
par: Fu, Weilong
Publié: (2025)
par: Fu, Weilong
Publié: (2025)
Target-Date Funds: A State-of-the-Art Review with Policy Applications to Chile's Pension Reform
par: Suárez, Fernando, et autres
Publié: (2025)
par: Suárez, Fernando, et autres
Publié: (2025)
Optimal Capital Deployment Under Stochastic Deal Arrivals: A Continuous-Time ADP Approach
par: Menda, Kunal, et autres
Publié: (2025)
par: Menda, Kunal, et autres
Publié: (2025)
Optimal Portfolio Construction -- A Reinforcement Learning Embedded Bayesian Hierarchical Risk Parity (RL-BHRP) Approach
par: Kang, Shaofeng, et autres
Publié: (2025)
par: Kang, Shaofeng, et autres
Publié: (2025)
F&O Expiry vs. First-Day SIPs: A 22-Year Analysis of Timing Advantages in India's Nifty 50
par: Gavhale, Siddharth
Publié: (2025)
par: Gavhale, Siddharth
Publié: (2025)
Market Dynamics of Information Avalanches
par: Meister, Bernhard K
Publié: (2026)
par: Meister, Bernhard K
Publié: (2026)
Comparing Mixture, Box, and Wasserstein Ambiguity Sets in Distributionally Robust Asset Liability Management
par: Ghahtarani, Alireza, et autres
Publié: (2026)
par: Ghahtarani, Alireza, et autres
Publié: (2026)
Documents similaires
-
Not All Factors Crowd Equally: Modeling, Measuring, and Trading on Alpha Decay
par: Lee, Chorok
Publié: (2025) -
Mean-Covariance Robust Risk Measurement
par: Nguyen, Viet Anh, et autres
Publié: (2021) -
Increase Alpha: Performance and Risk of an AI-Driven Trading Framework
par: Ghatak, Sid, et autres
Publié: (2025) -
3S-Trader: A Multi-LLM Framework for Adaptive Stock Scoring, Strategy, and Selection in Portfolio Optimization
par: Chen, Kefan, et autres
Publié: (2025) -
Robust and Sparse Portfolio Selection: Quantitative Insights and Efficient Algorithms
par: Chen, J., et autres
Publié: (2024)