# Tagged Questions

The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.

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### How to make the final Interpretation of PCA?

I have question regarding final loading of data back to original variables. So for example: I have 10 variable from a,b,c....j using returns for last 300 days i got return matrix of 300 X 10. ...
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### Are shorter holding period strategies better?

Consider two statistically identical strategies (identical information ratios, sample size, ratio of transaction costs to total profit, etc.) except that one has a much shorter average holding period. ...
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### How can I estimate the degrees of freedom for a Student's T distribution?

I am doing research estimating the value at risk for non-normally distributed assets. I need help in the process of estimating the parameters of Student's t distribution and which method to use. I ...
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### Why are we obsessed over normalizing financial data?

I have recently began work on some high frequency financial tick data. I have been told to 'normalize' the data as much as possible and run linear regressions through them. In fact, the data doesn't ...
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### Where to get Tobin's Q by country

I am trying to rank countries based on Tobin's Q ratio. US data can be easily gathered from FED's report and is available on multiple website. I want get data on other countries with high Index of ...
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### How to calculate the JdK RS-Ratio

Anyone have a clue how to calculate the JdK RS-Ratio? Let's say I want to compare the Relative strength for these: EWA iShares MSCI Australia Index Fund EWC iShares MSCI Canada Index Fund EWD ...
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### What are the econometric assumptions in the Fama-Macbeth procedure (1973)?

Fama-Macbeth (1973) introduce a two stage cross-sectional regression method (http://en.wikipedia.org/wiki/Fama%E2%80%93MacBeth_regression). 1) If I was to regress stock prices (or returns) on a ...
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### Covariance structure of call option surface

Assume the observed call option prices $C(K_i,T_i)$ for $i = 1,\dots,N$ are disturbed by some unknown measurement noise $\epsilon$. What would an appropriate covariance structure be for $\epsilon$? ...
544 views

### Coin Toss System

Coin Toss Runs Calculator The expected number of runs for two consecutive heads or tails is 3. Is there an edge if we place a progressive constant size bet(limited to 3 times)for consecutive ...
658 views

### Encyclopedia of Statistical Tests

I am aware of: Encyclopedia of Chart Patterns, Encyclopedia of Technical Analysis. Question I'm wondering if there's something similar, but in the form of: "Encyclopedia of Statistical Backtesting ...
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### How is stock data objectively different to this random walk?

I have a random walk that is generated as so using python, numpy, and matplotlib ...
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### Asymmetric Volatility Modeling (Interpretation)

I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
669 views

### Differential equation for log-returns

I have a question that might be trivial to most of you, but somehow I'm not able to solve it by myself. I have a disagreement with my colleague on the distributional properties of a Geometric Brownian ...
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### Degrees of freedom in calculating significance of GARCH coefficients

I am trying to determine the significance of coefficients of a GARCH model by calculate the p-values using the following Matlab formula: pvalues = 2*(1-tcdf(abs(t),n-v)), where $t$ is the t-stat,...
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### Statistical significance of a pair trading strategy

How can I test the significance of a pair trading strategy, i.e. that the H0 is "The strategy has no predicting power". I was considering to use the technique in Evidence Based Technical Analysis ...
10k views

### What do the terms in-sample and out-of-sample estimates mean in MVO?

How do the in-sample estimates and out-of-sample estimates I so often hear authors refer to in emperical analysis of MVO differ?
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### Convergence of the distribution of 0.05 quantiles through Monte-Carlo simulation

I am trying to get admitted to a masters in quantitative finance (I come from a computer science background), so next week I will have 3h to solve an exam in statistical computing using my favourite ...
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### factor models and using cross section regression

I have been doing some reading on factor models. In the literature it mentions that when creating a portfolio that maximises particular attributes it may lead to unwanted bias to other factors. I ...
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### 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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### Fitting transition matrices in R by solving for coefficient

I'm using various matrices to impute a fitted transition matrix for credit ratings by solving for a variable [S]. Essentially the idea is to determine a base matrix and stress matrix to compare to a ...
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### market change, correlation and estimation bias

I hear many quants sating that markets change very slowly. This "fact" is even presented as a justification of statistical arbitrage, for example, by affirming that correlations remain roughly the ...
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### Fit linear model to higher moments of CAPM

How can one fit a linear model to the higher moments of CAPM in R? Fitting a linear model to the second moment (classical CAPM) would be ...
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