Hypothesis Testing Fusion for Nonlinearity Detection in Hedge Fund Price Returns
Round 1
Reviewer 1 Report
The author presented the results of nonlinearity detection in Hedge Fund price returns. The paper included the hypothesis definition, the robustness criterion, and the 12 statistical indices used in the fusion process step. It is a great research paper. I have minor comments for the author.
1. Include the most recent references to the topic (after the 2020 year).
2. Include the future study related to this topic.
If the author follows my suggestion, I will be happy to recommend the paper for possible publication from Algorithms.
Author Response
The two requirements claimed by the first reviewer have been fllfulled
Reviewer 2 Report
This paper does a good job in investigating linearity of hedge-fund returns, across 15 types of funds and across 7 types of algorithms.
It is unclear why they expect linearity of funds, e.g., just introducing dividends would destroy linearity? Perhaps a sentence or two recognizing this would be appropriate?
Author Response
In the section results as well as in the introduction the impact of the nonlinearities has been detailed (much more than two sentences); Generally HF are not impacted by dividend (special mechanism)
Reviewer 3 Report
The conclusion of the paper should be already stated in the abstract. The current last sentence is too generic.
The introduction is too focused on the presentation of the methodology and the hedge funds. The additional text should be added in terms of the paper contributions. There should be a paragraph at least 15 lines long that elaborates on the previous research about the paper's contributions.
The validity of the evaluation should be more thoroughly explained, taking replication of experiments into account and the choice of software and datasets. It would be ideal to discuss validity in a single, independent paragraph.
GENERAL COMMENTS:
1. The paper must be fully developed - including discussion, contribution, implication and limitations.
2. I would like to see a well-developed discussion (minimum of two pages) comparing and contrasting solutions/results presented in work with existing work and then a subsection of it presenting contributions to theory/knowledge/literature (at least one to two paragraphs) and followed by a subsection on Implications for practice (at least one page). In these paragraphs, authors should compare their research approach with previous research, citing references to others' research.
3. Conclusion section must have a subsection on limitations and future research directions (one to two pages).
4. The overall document should be checked for grammar, syntax and typos errors. Based on the above comments, I strongly believe that the authors will improve the quality of their manuscript, given that they will make a detailed revision based on the provided comments.
5. Authors should reconsider explaining the section about the scientific contribution in the introduction and the conclusion of the paper, with the structured comparison of the current research with previous research. The text can be one paragraph long, but it should contain the most important studies.
6. Please, form the conclusion in the following manner: (i) First paragraph - summary of research and conclusion - e.g. In this paper... ; (ii) Second paragraph - comparison with previous research; (iii) Third paragraph - short description of practical implications; (iv) Fourth paragraph - summary of paper limitations and further implications.
Author Response
Point 1 done
Point 2 done (section results)
Point 3 also developed at the end of section 4.2 and introduction
Point 4 I have carefully re-read the paper and some typo have been fixed.
Point 5Ddone
Point 6 Comparison with previous papers has been done in 4.2 with different implications on the factorial model and HF performance
