Anatolyev, Stanislav; Gerko, Alexander A.; Šakin, Dmitry A. - 2004
operational market ine ciencies such as transactions costs and infrequent trading, one reduces
the problem to testing the … properties of the pro tability and DA test statistics via
simulations. Owing to its orientation towards detecting pro tability … idea that the very fact that some strategy is able to obtain
an abnormal pro t during a certain period of time does not …