Valeriy Zakamulin
Valeriy Zakamulin (also published as Valeri Zakamouline) is a professor at the School of Business and Law, University of Agder, Norway, working on quantitative finance and the empirical evaluation of trading strategies. He is a prominent skeptic of market-timing and moving-average strategy claims: his 2016 paper “Revisiting the Profitability of Market Timing with Moving Averages” showed that a widely cited study’s reported edge was an artefact of look-ahead bias, and his related 2014/2015 work found no significant out-of-sample timing outperformance. He appears in this vault as an authority on look-ahead bias and the over-statement of regime/trend-timing profitability.
Connections
- Zakamulin 2016 — proposes_model, source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2743119
- Lookahead Bias from Smoothed Regime Estimates — relates, source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2743119