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3
votes
0answers
76 views

What are the main market efficiency measures?

I'm going to test for the effect of the change in market efficiency on the stock market portfolio, and, I want to know what are the main measures known in the academic literature in order to compare ...
0
votes
0answers
33 views

Impact of Implied skew variations on future prices

I want to test the relationship between of the oil implied volatility skew and oil future prices. I'm lost regarding the method to test the relationship. I was thinking about a regression but I'm ...
1
vote
0answers
51 views

Here is an approach for measuring Data Snooping; is it new?

I came up with an approach for measuring data snooping, or overfitting. My question is whether this approach was published and expanded-on already, or is it new? My approach relies on the observation ...
0
votes
1answer
110 views

Black-box local volatility pricer

I am testing a local volatility pricer by comparing its results under two settings: Pricing a 5yr ATM call option with a flat volatility of $0.194$ Pricing the call option with the typically shaped ...
1
vote
0answers
187 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 ...
2
votes
1answer
237 views

Testing for stationarity in large sample sizes

I keep struggling with testing 9 samples if they are stationary. Each of these samples is a real valued time series with 714.000 values. If I use the KPSS test with the each compleete sample set, the ...
17
votes
3answers
581 views

Tests that any system must pass to be taken seriously

In an interview from '96 Bill Eckhardt points out that there are tests that any system must pass to be taken seriously. That is: tests for (1) overfitting, (2) post-dictiveness, (3) maldistribution ...
2
votes
1answer
660 views

a simpler test for normality given skewness, kurtosis and autocorrelation and size of time series

I typically do a JB (Jarque Bera) test and DW (Durbin Watson) tests for check for normality given skewness, kurtosis and autocorrelation of the data. However this requires a CHI distribution table ...
2
votes
1answer
282 views

Testing a simple stock market trading hypothesis? [closed]

I have a simple stock market trading hypothesis ... Something along these lines: Based on a certain deviation from a stock market index over a 30-day period, 5 certain stocks tend to drift ...
11
votes
1answer
628 views

What techniques are used for testing order book implementations?

I am finishing the implementation of a limit order book for modeling NASDAQ. The order book works off of the ITCH feed. My question is what techniques are typically used for testing order books. I am ...