Library
Chapter 5
Synthetic Financial Data
Curated summaries of the key literature behind this chapter — the findings, the methods, and how to put them to work.
20 referenced in this chapter
21 further reading
This chapter Library is for Research-to-Production students
R2P students unlock curated summaries of every key paper behind this chapter — the core findings, the methods, and how to apply them — plus resources we keep adding over time.
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing
Empirical properties of asset returns: stylized facts and statistical issues
Generalized autoregressive conditional heteroskedasticity
Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chance
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
plus 36 more references inside