Questions tagged [bootstrap]
Resampling technique for estimating standard errors and computing confidence intervals of sample based quantities.
27
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Sharpe ratios (and other risk-adjusted metrics) on Terminal wealth (long-horizon payoffs)
I'm exploring financial simulations with bootstrapped returns (TxNBoot) to calculate long-horizon returns. Terminal wealth (e.g compounded returns at T) is a vector of payoffs (NBootx1), typically ...
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Bootstrapping annual and semi annual bond [duplicate]
https://www.wallstreetmojo.com/bootstrapping-yield-curve/
a) This is the standard method for bootstrapping:
From the 0.5-year maturity the spot rate or the discount rate is 3% and let us assume the ...
0
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0
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49
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Circular block bootstrap (CBB) Value-at-Risk (VаR)
I am calculating Value-at-Risk (VAR) with the Circular block bootstrap (CBB) method.
How do I complete the circle and join $P_{10}$ and $P_1$ so that I do not get -70% yield?
If I proceed with CBB VAR ...
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160
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Bootstrapping overnight SOFR rates from futures
I'm struggling with the best way to approach bootstrapping out a SOFR curve using SOFR 1m and 3m futures. Theoretically, unless I'm wrong, there should be a way to price out the expected overnight ...
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1
answer
47
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Need Guidance on Analyzing Financial Data Across Multiple CSV Files in R [closed]
I'm new to R but experienced in Stata. I'm working on a research project involving 39 countries, each with 100+ years of daily financial data (date, high, open, close, return), along with USD exchange ...
2
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1
answer
428
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Using Yield Term Structure for Bond Pricing in QuantLib: Is a Zero-Coupon Curve Necessary?
I've been using QuantLib for constructing a yield curve and pricing a bond. I am wondering if I'm using the correct method to create my yield term structure (yts) ...
3
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1
answer
357
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Proper way to backtest strategy using bootstrap method
Should I back-test in a single (original) price series and bootstrap the strategy returns to get statistics of interest?
Or should I create bootstrapped price series using bootstrapped returns from ...
3
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2
answers
224
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Detrending price series for back testing
If I am testing a trend-following strategy, should I detrend the data before applying the rules or should I generate signals based on the original price series but use detrended data for performance ...
1
vote
1
answer
339
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Convert UST Yield Curve to Spot Curve (Zero Coupon) using bootstrapping
Having the following UST Active Curve :
Tenor
Tenor ticker
bid_yield
Coupon
1M
912796XM Govt
1.891
0
2M
912796XV Govt
2.225
0
3M
912796V6 Govt
2.52
0
6M
912796XS Govt
3.026
0
1Y
912796XQ Govt
3....
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1
answer
233
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Quantlib Piecewise CubicZero Bond Curve Bootstrap
I am looking for more details on Piecewise Cubic Zero for bootstrapping/interpolating treasury curve ? Does quantlib uses Cubic interpolation or Cubic Spline interpolation ? If Cubic interpolation ...
1
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0
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How to bootstrap zero curve using swap curve when Today's are not reset date?
I know how to build Zero Curve using Swap Curve when today's are reset date.
Because, In the reset date, Floating rate bond's value is exactly par value. So we can make equation with Fixed rate bond!
...
0
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0
answers
142
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Block Bootstrapping for synthetic data
I am trying Block Bootstrapping for synthetic data generation.
For example in
http://www.blackarbs.com/blog/synthetic-data-generation-part-1-block-bootstrapping
the author @blackarbsceo use data from ...
2
votes
0
answers
231
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Basic question on Plain Vanilla Interest Rate Swap pricing
I'm new to quant and would like to understand on pricing AUD Plain Vanilla Interest Rate Swap. In post/article/book often explain for long end, we use SWAP RATE that are observed in market. But I'm ...
1
vote
1
answer
435
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Sharpe testing in R
My goal test: The statistical significance of the difference in Sharpe ratio between funds A and B.
My data: I have daily prices from January 23 2008 until 10th of April 2019 (n = 2818 observations). ...
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0
answers
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Trading rules: Controlling the portfolio FDR+ level
I'm trying to apply the FDR+ (False Discovery Rate +) methodology from Bajgrowicz (2011) link another_link. I have computed the p-values with the stationary bootstrap as they did, however I am not ...
0
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1
answer
405
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PRIIP Category 3 Curves
Good evening,
I've tried searching similar posts, but most are unanswered or in a more advanced step than what I'm trying to achieve.
I've managed to do the boostrap method for spot prices ...
3
votes
3
answers
660
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Basic boostrapping question
Suppose I have three bonds:
Coupon bonds are paid semi-annually. Rates are continuous compounding.
I'm trying to bootstrap the zero rates for 0.5 years maturity using the 1 year zero coupon bond and ...
7
votes
1
answer
2k
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Question regarding the Category 3 PRIIP MRM calculation
My question is regarding the European Commission regulation on standardizing the information in the key information documents for PRIIPs. In the Annex IV of the regulation, one can find the ...
11
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0
answers
748
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Block bootstrap to synthesize asset prices
I have a few basic questions on block bootstrapping on a financial time series ('TS').
Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
1
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0
answers
58
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Bootstrapping p values in linear regression in R
Can someone help me with a code how to bootstrap p values in R using Boot or boot package?
regCSS30 <- dyn$lm(lag(eval(parse(text="HV")),-30) ~ lag((eval(parse(text="CSS30"))),0), data=window(...
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0
answers
53
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What I find if I bootstrap a binary logistic regression?
I want to describe the direction of some stock returns, using as predictors several independent variables which are uncorrelated. The relation in which I am interested is between the stock returns and ...
2
votes
1
answer
307
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Parametric bootstrap in generating returns and hypothesis testing
I am trying to test a hypothesis of a statistic calculated from portfolio returns. To do so I estimate a model on the original returns series and want to obtain 100 bootstrapped series using ...
1
vote
1
answer
267
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bootstrap asset allocation
I want to ask if the bootstrap method for asset allocation is preferable. For instance, suppose that we have data for the past returns for two stocks. Is it wise to generate the efficient frontierby ...
2
votes
1
answer
635
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out-of-sample variance using rolling window
I am currently working on the comparison of the constructed portfolios using out-of-sample variance criteria. I am going to use rolling window procedure for the comparison. First, I choose a window ...
3
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0
answers
207
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State Space models with Short Time Series
My problem is that I have a state space model that I estimate using the Berndt–Hall–Hall–Hausman (BHHH) algorithm. The state space model is relatively simple in that the hidden part follows a pure AR(...
3
votes
1
answer
768
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How do i test the significance of Sharpe ratio of a strategy using bootstrap
How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ?
What should be the H0 in the hypothesis testing ?
...
2
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2
answers
584
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Block Bootstrapping Relative Returns
I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important.
A bootstrap sequence is a synthetic sequence generated using the original sequence. If ...