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Certified Alpha Capacity: Statistical Evidence, Economic Lifetime, and Arbitrage under Decay

Bonacorsi, Nicolò
arXiv (All) · Papers
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60g4062l10mathematical-financemethodology
In this paper we study whether a trading signal can accumulate enough statistical evidence for reliable deployment before its economic value decays. We solve the problem by measuring statistical evidence and remaining opportunity on a common Kullback-Leibler information scale, obtaining an exact fea
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