Overview
David H. Bailey is an American mathematician and computational scientist (Lawrence Berkeley National Laboratory; UC Davis), known for high-performance computing and experimental mathematics, and for a series of papers with López de Prado on the statistics of investment performance and backtest overfitting.
Key Contributions / Features
- Sharpe-ratio inference and backtest overfitting (Bailey-López de Prado 2012): coauthor of the Probabilistic and Deflated Sharpe ratio and the probability of backtest overfitting (Probabilistic Sharpe Ratio).
- Prominent in experimental/computational mathematics (e.g., the BBP formula for π).
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