Quantocracy’s Daily Wrap for 11/17/2016

This book covers linear algebra methods for financial engineering applications from a numerical point of view. The book contains many such applications, as well as pseudocodes, numerical examples, and questions often asked in interviews for quantitative positions. Financial Applications The ArrowDebreu one period market model One period index options arbitrage Covariance and correlation matrix

In this post i take an R-view of Backtesting Harvey & Liu (2015). The authors propose an alternative to the commonly practiced 50% discount that is applied to reported Sharpe ratios when evaluating backtests of trading strategies. The reason for the discount is due to the inevitable data mining inherent in research, both past and present. Harvey & Liu (HL) propose a multiple