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Validating Trading Backtests with Surrogate Time-Series
Dec29January 30, 2021Articles, Quant Finance, Statistics

Validating Trading Backtests with Surrogate Time-Series

Back-testing trading strategies is a dangerous business because there is a high risk you will keep tweaking your trading strategy model to make the back-test…

Gaussian Mixture Approximation for the Laplace Distribution
Jan30January 30, 2021Statistics

Gaussian Mixture Approximation for the Laplace Distribution

The Laplacian distribution is an interesting alternative building-block compared to the Gaussian distribution because it has much fatter tails. A drawback might be that some…

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