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39 views

Proper Definition of Backtesting Parameter

Currently I'm trying to test the efficacy of a tail-hedging strategy in which an investor goes long in an index and correspondingly buys 1-month OTM put options. For practical reasons, the options ...
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0answers
52 views

Easy question (?) - how to measure if volatility for two samples is significantly different?

For my bachelor thesis I'm doing a research where at one point I want to measure if volatility for a certain sample of stocks in period A is significantly different from i) the same sample of stocks ...
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0answers
35 views

What is a good statistical test on stock prices to indicate a company's value has changed?

My current test is to take monthly proportional price changes for stock XYZ and subtract out the proportional changes of the S&P500. Then compare the mean of a sample of XYZ-S&P (e.g. trailing ...
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1answer
67 views

The use of $p$-value in finance after the recent statement of ASA (American Statistical Association)

The ASA (American Statistical Association) has just released a statement about the misuse of $p$-value. Will this action have much effect on the use of $p$-value in finance?
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0answers
32 views

Significance testing of average returns from Sharpe ratio

I'm aware that one way to do significance testing on a strategy is based on the sampling distribution of its Sharpe (see, e.g., Lo, 2002 and Opdyke, 2008). However, it appears to me that there's ...
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1answer
36 views

Variable becomes more significant when more variables are included

I do some empirical research. I typically use regression analysis and panel data econometrics (with fixed effects). Usually, when I include more variables, the initial variables of the model become ...
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0answers
45 views

Compare performance buy-and-hold strategies after stock-split

QUESTION: How should I analyze the statistical significance of the difference between two buy-and-hold strategies (or the relative performance) when the samples are not independent? Background: I ...
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2answers
302 views

Kolmogorov-Smirnov test for Generalized Pareto Distribution

I've fitted my data to a generalized pareto distribution as to model the returns in the tails more accurately. The interior is fitted with kernel distributions. I would like to now test whether the ...
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0answers
151 views

Testing Statistical Significance of Various Portfolio Simulations

I'm trying to determine which of my portfolio simulations/backtests if any are good enough to put some money into. I outline an approach below and I'm interested in knowing: What problems are there ...
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1answer
108 views

Compare fund managers with insignificant alphas?

For my thesis I am evaluating two mutual fund portfolios in order to check for differences in manager performance. My hypothesis is that there will be no differences in performance (in terms of alpha) ...
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1answer
170 views

Statistical Power and Active Management

I was reading an article recently that pointed out the dangers of using statistical inference in evaluating active managers as the power of statistical tests diminishes with the variance of the ...
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242 views

How to statistically compare the pricing errors of various option pricing models?

I have three different option pricing models, for which I computed the in-sample and out-of-sample pricing errors. Now I want to test the pricing performance of these three option pricing models ...