Overfitting (papers)

Overfitting Performance Chasing Optimal Trading Rules without Backtesting Testing for Change in Performance Detecting accounting manipulation Investing in Art
 * Chordia, T., Goyal, A. and Saretto, A. p-Hacking: Evidence from Two Million Trading Strategies (2017). SSRN
 * Suhonen, A., Lennkh, M. and Perez, F. Quantifying Backtest Overfitting in Alternative Beta Strategies (2016). SSRN
 * Wiecki, T. et. al. All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms (2016). SSRN
 * Novy-Marx, R. Backtesting Strategies Based on Multiple Signals (2015). SSRN
 * Harvey, C. and Liu, Y. Lucky Factors (2014). SSRN
 * Bailey D. et. al. Statistical Overfitting and Backtest Performance (2014). SSRN
 * Bailey, D. and de Prado, M. The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-normality (2014). Link
 * Harvey. C., Liu, Y. and Zhu, H. ... and the Cross-Section of Expected Returns (2013). SSRN
 * Bailey, D. et. al. Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance (2013). SSRN
 * Beaudan, P. Telling the Good from the Bad and the Ugly: How to Evaluate Backtested Investment Strategies (2013). SSRN
 * McLean, D. and Pontiff, J. Does Academic Research Destroy Stock Return Predictability? (2012) SSRN
 * Brightman, C., Li, F. and Liu, X. Chasing Performance with ETFs (2015). Link
 * Hsu, J., Myers, B. and Whitby, R. Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies (2015). SSRN
 * Evans, R. Mutual Fund Incubation (2008). SSRN
 * de Prado, M. Optimal Trading Rules Without Backtesting (2014). SSRN
 * de Prado, M. and Foreman, M. A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm (2011). SSRN
 * Rauch, B., Goettsche, M. and Mouaaouy F. LIBOR Manipulation – Empirical Analysis of Financial Market Benchmarks Using Benford's Law (2013). SSRN
 * Grammatikos, T. and Papanikolaou, N. Using Benford's Law to Detect Fraudulent Practices in Banking (2013). SSRN
 * Korteweg, A., Kraussl, R. and Verwijmeren, P. Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective (2013). SSRN