Michael J. Lewis

New York University (NYU) - Courant Institute of Mathematical Sciences

New York University

New York, NY 10012

United States

Goldman Sachs

200 West Street

New York, NY 10282

United States

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Detection of False Investment Strategies Using Unsupervised Learning Methods

Number of pages: 25 Posted: 23 Apr 2018 Last Revised: 07 May 2019
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and New York University (NYU) - Courant Institute of Mathematical Sciences
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Abstract:

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Backtest overfitting, selection bias, multiple testing, quantitative investments, machine learning, financial fraud