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.
3
votes
3answers
146 views
How to see if a set of asset returns corresponds to a known correlation matrix?
Let's say I have an arbitrary set of $n$ period returns for $k$ assets, and a given $k \times k$ correlation matrix (of asset returns), which is known a priori.
Does it makes sense, or is it even ...
3
votes
1answer
172 views
How to determine ratios for mean-reverting basket
Suppose I have a basket of 3 securities A, B, and C. I believe that the basket is cointegrated and I want to create a mean-reverting trade. I fit the model:
...
3
votes
0answers
111 views
Fitting a non linear AR + GARCH(1,1)-M model
I want to fit the following model to a time series:
$$
y_{t}=\alpha_{0}+\alpha_{1}y_{t-1}+\alpha_{2}y_{t-1}^{2}+\lambda h_{t}+\varepsilon_{t}
$$
$$
...
3
votes
0answers
173 views
how to represent financial data as a spatial process
Does any one have a good tutorial , introduction or overview on the web for different ways of representing financial data as a spatial process? Such as those spatial processes often used in ...
2
votes
3answers
482 views
What advanced statistical techniques are quant researchers using? [closed]
Some time ago I was talking to a representative of one of the leading quantitative hedge funds. We talked about recruitment and the following had me stunned:
The representative explained that they ...
2
votes
2answers
131 views
Squared and Absolute Returns
I've always wondered why do one use squared or absolute returns to determine if volatility modeling is required for the return series? We understand that there are various tests for its ...
2
votes
2answers
2k views
Calculating Portfolio Skewness & Kurtosis
I need to calculate the skewness and kurtosis of 2 asset portfolio, can someone please help me with the formulas and definition of terms? Thank you.
I have been using the matrices method and I am not ...
2
votes
1answer
739 views
How to fit ARMA+GARCH Model In R?
I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...
2
votes
2answers
326 views
Detrending price data for analysis of signal returns
I'm looking to conduct hypothesis tests on some of my trading signals to see if the signal returns are statistically significant enough to falsify my null hypothesis that the signal has no predictive ...
2
votes
1answer
367 views
Predict Quadratic Trend in Time Series
Can anyone kindly point out if I made any mistakes in making predictions using quadratic regression model in time series? I called the predict() function with the appropriate data vector and model, ...
2
votes
1answer
100 views
How to reconstruct a discontinued economic time series such as the Fed's CP rate?
The old 3-Month Commercial Paper Rate (CP3M) on FRED was discontinued in 1997. I would like to reconstruct this series in a reasonable fashion, so I can use it to analyze more recent events.
I was ...
2
votes
0answers
168 views
Does the geometric Ornstein-Uhlenbeck process have stationary variance?
I know that the long run variance of the standard OU process is
$\lim_{s\rightarrow \infty}\mbox{Var}(P_{t+s}|P_t) = \frac{\sigma^2}{2\theta}$
I'm using the geometric version of the process. I ...
2
votes
0answers
103 views
What are the proper metrics to look at for checking discrepancies in these two time series
I am obtaining bid/ask price and volume market data from two different sources for the same ticker and for the same day and checking to see that at time intervals X they are "roughly the same". The ...
1
vote
3answers
258 views
Kolmogorov-Smirnov test
Is Kolmogorov-Smirnov test self-sufficient to prove normal distribution of a time series? And then test efficiency of a market?
1
vote
2answers
239 views
.NET statistical packages recommendation
What open source or commercial .NET statistical package would you guys recommend? I am doing statistical arbitrage in options. The functions I need mainly are regressions, optimizations..etc. It would ...
1
vote
2answers
123 views
Statistics of difference between two GBMs
if I have two asset prices modeled separately as geometric brownian motions. How do i go about calculating the expected statistics of their difference? Like given the sigmas and mus of both processes, ...
1
vote
1answer
139 views
Testing Significance of Correlation
Lets say I have the returns of two stocks(stock1 and stock2). Now without running a regression, I lag one of the variables, calculate the correlation between the two stocks and repeat this process as ...
1
vote
2answers
113 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?
1
vote
1answer
472 views
Hurst Exponent Calculation
I am trying to calculate the Hurst Exponent using Excel. I am facing a problem where the exponent value sometime goes beyond 1. Can someone share a link / material so that it will help me to calculate ...
0
votes
2answers
1k views
Kalman Filter Equity Example
I am looking out for some material where I can study about Kalman Filter applied to Equity using Excel or R?
0
votes
3answers
207 views
Profit estimation with a dice: 10 dollars for 6, -1 dollar for anything else
I recently found the following question: What is your profit estimate throwing a dice in the long run if you get 10 dollars for each time you hit 6 and lose 1 dollar for any other number?
I tried to ...
0
votes
2answers
144 views
Interpretation of PCs
I have computed PC1 and PC2 wts on future contracts derived from cumulative log differences. How can I use them to get back the theoretical price of each contract using those 2 pcs? Thanks in ...
0
votes
1answer
130 views
help me compare methods to compute one instrument price from another instrument price
Assume we have two instruments A and B. Also time is increasing from 1 to n. Let's say that ...
0
votes
1answer
222 views
main arbitrage & statistical arbitrage concepts
can we please summarise here some of the basic concepts, tools used in arbitrage and statistical arbitrage in real life?
ARB: benefit from price difference on same asset
ARB: difference between ...
-4
votes
0answers
58 views
Which to learn first (Numerical Methods or Statistical Methods)? [closed]
Do apologize for the newbie question im a youngin on the block. As I read more and more into finance and open my eyes to the world of mathematics there is more and more I see but being young I can ...
