Introduces a paired one-switch benchmark that quantifies protocol-induced inflation from decision-time leakage in financial ML backtests on equity panels from 2016-2024.
author Borwein, J
3 Pith papers cite this work. Polarity classification is still indexing.
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UNVERDICTED 3representative citing papers
A hybrid DRL system for multi-pair crypto trading with deterministic risk shielding outperforms a heuristic baseline at 10% significance on Binance futures data.
Empirical finance is limited to ex post causal inference because self-reference in markets makes unidirectional causation unstable or fallacious.
citing papers explorer
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When Alpha Disappears: A One-Switch Benchmark for Decision-Time Leakage in Financial Backtests
Introduces a paired one-switch benchmark that quantifies protocol-induced inflation from decision-time leakage in financial ML backtests on equity panels from 2016-2024.
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Dynamic Multi-Pair Trading Strategy in Cryptocurrency Markets with Deep Reinforcement Learning
A hybrid DRL system for multi-pair crypto trading with deterministic risk shielding outperforms a heuristic baseline at 10% significance on Binance futures data.
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Epistemic Limits of Empirical Finance: Causal Reductionism and Self-Reference
Empirical finance is limited to ex post causal inference because self-reference in markets makes unidirectional causation unstable or fallacious.