# Tagged Questions

For questions citing or requesting references to academic and/or professional research.

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### How do I use BIC (Bayesian Information Criterion) to estimated model AR (auto regressive) lag?

In financial research papers, I have seen several times that the lag length in an ARMA model has been determined using BIC. Do the researchers estimate the lag length before considering other ...
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### How to map shocks from VAR to news? (Academics)

I am trying to map shocks from VAR to discount-rate and cash-flows news following the paper of Campbell and Vuolteenaho (2004). It is said that news are a linear combination of shocks from VAR at (t+1)...
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### Sampling and/or asymptotic distribution of a function

Assume we have the following function: $$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$ where $d$ is a constant $T$ is a constant $X_t$ ...
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### Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
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### Research methodology of systematic strategies

Can someone please share your research methodology of systematic trading strategies? I feel like I am always using the a same data driven procedures over different underlyings and would like to get ...
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### Is there a trustworthy ranking of quantitative finance degrees?

I'm interested to know if there is a trustworthy ranking of master's degree in quantitative finance. I'm specifically interested in some recruiter's perspective or experience, if available. I ask ...
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### Analyst Forecasts for monthly unemployment rate

Are there any resources that tabulate past analyst forecasts for the monthly unemployment rate along with the dispersion of the forecasts
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### S&P 500 P/E percentile

I am researching the past five year return for the securities in the top and bottom 10 percentile of the S&P 500 on date 5 years ago. I used Bloomberg to get this data. When I searched for the ...
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### Fama-French three-factor model vs four-factor (Carhart) and five-factor model

I'm performing a study where I compare the Fama-French three factor model to the CAPM on the Swedish industrials industry. I do this to compare which of the models is the best performer, but also if ...
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### LSTM w/dropout Peer-reviewed or other authoritative lit for time-series/financial econometrics/Teh stock price/volatility/etc

So, I've been looking on Google Scholar for stuff using Long Short-Term Memory neural nets for time series. I was inspired by the interview with this 2nd place finisher in a recent Kaggle major: http:...
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### Factors to Include in a Model to Predict Gross Profitability Persistence

I am trying to build a logistic model that predicts gross profitability persistence. Specifically at the start of every July, I assign stocks to one of five gross profitability groups (5 being the ...
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### residential mortgage prepayment modelling

I'm trying to develop a model for predicting prepayments, after reading several arcticles about it over the net. the model should use market data and be behavioral model (i.e. regression/survival ...
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### Poor investment preformance in early years impacting on final fund value

I am currently doing some work on the performance of funds across different models of the economy. I am trying to find some work that looks at the impact of poor/lower returns at the early years of ...
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### Physical Option Implied Distribuition

So I got risk neutral probabilities from stock option prices. How can I then map them to a physical measure?