# 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.

173 views

### Should I use Resampling or Expectation Maximization to compute a robust covariance matrix?

I have several assets, each with different return histories. Some of the assets have 75 days of return history, others have 40 or so days. In calculating a robust covariance matrix, should I be using ...
314 views

### Market risk stress testing?

I am doing a research for a paper for market risk stress testing. In fact I found some information on the web about this important topic such as: Stress Testing from Art to Science Stress Testing ...
237 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 geo-...
3k 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 ...
3k 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 ...
968 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 ...
160 views

### How to identify the orders p and q for ARIMA model using least squares method?

I would like to identify the orders p and q for ARIMA model using least squares method in Matlab. I have got also two data files (one with noise and one without) Previously I identified p and q for ...
110 views

### How to account for correlation between strategies when they are added linearly?

There are n strategies which are going to be combined linearly. Using a pre-exisiting model I get a set of n weights which will be used to combine the strategies. But the model does not take ...
560 views

### Dou you have an example of implementing Engle-Granger 2-step cointegration?

Does anyone know where to find an example of implementing Engle-Granger 2-step cointegration? Python's ideal, but any language will do. I've skimmed and read many articles, but understand little ...
1k 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 ...
40 views

### What is the borne function mentioned in this paper?

On page 16, first paragraph of this paper, the authors introduce a function called "borne", which divides the normal distribution into n ranges of equal size, without citation. The definition is clear ...
175 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 ...
107 views

### FORECASTING Model AR(1) in an Autoregressive Form The Pi´s Parameters

Ive been implementing a little exercise to obtain the first 2 forecasting points of an AR(1) process. And i want to have the forecasting ponts using the three forms: Im folowing this pdf http://www.le....
507 views

### using garch to forecast volatility but getting low persistence model

I am using a GARCH(1, 1) model to try model volatility for a certain stock. I have a GARCH function in matlab that returns the three parameters, omega, alpha & beta. I then use this parameters ...
105 views

### Law of large numbers necessary for APT derivation?

The question refers to the well-known Ross (1976) paper with the derivation of the Asset Pricing Theory. In the APT, the return of asset $i$ is driven by a linear factor model:  R_i = \alpha_i + \...
77 views

### Is this a reasonable approach to determine the relative importance of valuation factors?

I am trying to come up with a measure of relative importance of a number of valuation factors. I am wondering whether correlation coefficients can't be used for determining this. More on the issue: ...
359 views

### How to compare different volatility measures?

I read the Euan Sinclair's book (Volatility trading) in which he suggests different volatility estimators (Close-to-close, Parkinson, Garman-Klass, ...). I am inquiring about what is the best stock ...
457 views

612 views

### detecting and measuring lead lag effect

Given two time series data. I remember there is one statistics that tells you one is the leading factor while the other is the lagging factor. However, i do not remember the exact details. correlation ...
379 views

### How to combine Gaussian marginals with Gaussian copula to obtain multivariate normals?

in the book "Numerical Methods and Optimization in Finance" I red the following: "Combining the Gaussian copula with Gaussian marginal gives a fancy way of expressing multivariate normals. However, ...
1k views

### Probability of a return from historical average and standard deviation

I have a question from a sample exam paper that I'm having some trouble figuring out. The question is: Bavarian Sausage stock has an average historical return of 16.3% and a standard deviation of 5....
169 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 ...
56 views

### Historical volatility from non-uniform samples

The way I compute historical volatility is that I take two parameters $dt$ and $T$, get a list of stock prices with the step of $dt$ over the window $T$ (so $T/dt+1$ samples in total), compute $T/dt$ ...
46 views

### What is wrong in my non-linear estimation sample code?

I am trying to reproduce the code and plot you see here on pages 8,9 and 10 which was coded in MATLAB, but I'd like to convert it to R code. I believe I converted the MATLAB code below to R syntax ...
105 views

### To lump or not to lump

Suppose I have a very simple asset whose price takes only three possible values: $X_t\in \{-1,0,1\}$. I also got some discrete time series $X = (X_t)_{t\geq 0}$ and I would like to come up with a ...
14 views

### Deming Regression

I am trying to test the linearity = interdependence or the non-linear (contagion) between Asian countries during the Asian crises using the fluctuation of the exchange rate. Is it relevant to use the ...
41 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 ...
76 views

### How to statistically prove that an automated trading strategy outperforms the market? [closed]

For a university project, I have been working on a rather complex automated trading strategy, that levers machine learning techniques. I backtested the algorithm, as a result I have daily return data ...
15 views

### Affect of choosing different combinations of variables for multivariate regression [closed]

If I have variables x1,x2,x3,and x4 that have correlation coefficients −0.9,−0.5,0.5, and 0.9 to another variable y, what is the effect of choosing different combinations of them in a multivariate ...
73 views

### FX Statistical Arbitrage Strategy [closed]

I have had experience creating stat arb strategies for equities and etfs, but haven't dabbled much into FX trading. I was wondering if anyone knew any resources online they would suggest, or could ...
52 views

### state space for affine yield curve

i would like to reproduce in R the working paper " Affine free arbitrage class of Nelson Siegel term structure". The authors considering the equation of nelson siegel plus an adjustment term(C(t,T)) ...