Jonathan Borwein

University of Newcastle (Australia)

Laureate Profesor

Royal Society of Canada

Fellow

Australian Academy of Science (deceased)

Fellow

SCHOLARLY PAPERS

9

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Top 778

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28,905

CITATIONS

1

Scholarly Papers (9)

1.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 11,406 (321)
Citation 1

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 9,811 (430)

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

The Probability of Backtest Overfitting

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 21 Sep 2016
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
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backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation

3.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial Engineering
Downloads 2,518 (4,735)

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Marker forecasters ranking; Guru ranking; Market forecast

4.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
David H. Bailey, Jonathan Borwein and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and Cornell University - Operations Research & Industrial Engineering
Downloads 1,932 (7,420)

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backtest, historical simulation, probability of backtest overfitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

5.

Backtest Overfitting in Financial Markets

Automated Trader, 2016, Forthcoming
Number of pages: 8 Posted: 15 Feb 2016
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering, University of Technology Sydney, Australia and Western Michigan University
Downloads 1,572 (10,447)

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

6.

Online Tools for Demonstration of Backtest Overfitting

Number of pages: 13 Posted: 23 Apr 2015 Last Revised: 01 Dec 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia, Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 765 (30,861)

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Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy

7.

Mathematical Appendices to: 'The Probability of Backtest Overfitting'

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 8 Posted: 23 Feb 2015 Last Revised: 05 Jul 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 675 (36,587)

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

8.

Do Financial Gurus Produce Reliable Forecasts?

Number of pages: 20 Posted: 13 Mar 2019
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial Engineering
Downloads 170 (172,777)

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Marker forecasters ranking; Guru ranking; Market forecast

9.

A Variational Approach to Lagrange Multipliers

Number of pages: 37 Posted: 08 Nov 2014
Jonathan Borwein and Qiji Jim Zhu
University of Newcastle (Australia) and Western Michigan University
Downloads 56 (360,756)

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Lagrange Multiplier, duality, constrained optimization.