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Arnout Tilgenkamp

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Erasmus University

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15 Oct 2013 White Reality Check A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano Author: Arnout Tilgenkamp white, reality check, datasnooping, datamining, data mining, hypothesis test 23 6
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21 Dec 2011 Screenshot Theil–Sen estimator Robust regression for slope estimation between 1dimensional X and y Author: Arnout Tilgenkamp regression, slope, estimation, robust, statistics, theil 38 1
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19 Aug 2012 White Reality Check A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano Author: Arnout Tilgenkamp

Waiting for update to be accepted by Mathworks

07 Aug 2012 White Reality Check A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano Author: Arnout Tilgenkamp

@ Eduard, after checking I think you are right, I seem to have made a mistake. Testing vs alternative models is therefore incorrect, however testing vs zero return is still valid since, there is no reason to bootstrap a nonvarying vector. I will make the adjustment shortly

thx for the feedback

07 Aug 2012 White Reality Check A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano Author: Arnout Tilgenkamp

@ Huan , it is valid to resample the strategy returns. To circumvent the issue with zeros I would suggest to start your resampling from day 'i' where all strategies have had the possibillity to trade.

One can also remove all collective zeros, but I am not sure whether this is valid and would influence the asymptotic properties of the test statistic. I need to verify whether this is valid.

Thx for the feedback do

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22 Apr 2014 Theil–Sen estimator Robust regression for slope estimation between 1dimensional X and y Author: Arnout Tilgenkamp Felipe G. Nievinski

Line 12:

theil=diff(y(Comb),1,2)./diff(x(Comb),1,2);

can be replaced by:

theil=deltay./deltax;

(otherwise the value assigned to deltax and deltay would be unused.

19 Aug 2012 White Reality Check A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano Author: Arnout Tilgenkamp Arnout Tilgenkamp

Waiting for update to be accepted by Mathworks

07 Aug 2012 White Reality Check A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano Author: Arnout Tilgenkamp Arnout Tilgenkamp

@ Eduard, after checking I think you are right, I seem to have made a mistake. Testing vs alternative models is therefore incorrect, however testing vs zero return is still valid since, there is no reason to bootstrap a nonvarying vector. I will make the adjustment shortly

thx for the feedback

07 Aug 2012 White Reality Check A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano Author: Arnout Tilgenkamp Arnout Tilgenkamp

@ Huan , it is valid to resample the strategy returns. To circumvent the issue with zeros I would suggest to start your resampling from day 'i' where all strategies have had the possibillity to trade.

One can also remove all collective zeros, but I am not sure whether this is valid and would influence the asymptotic properties of the test statistic. I need to verify whether this is valid.

Thx for the feedback do

03 Aug 2012 White Reality Check A reality check for data snooping by Halbert White, uses the stationary bootstrap by Politis&Romano Author: Arnout Tilgenkamp Huan

Think so, too. And plus, Got question about reality test itself:is it right to just resample the strategy returns instead of the original data set? Like for many strategies the first N days return will always be 0 due to the first signal can only be produced after the Nth day. If just resample the strategy return, this will be violated, isn't it?
BTW, thanks loads for sharing~~

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