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2
votes
1answer
155 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 ...
16
votes
3answers
424 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
341 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 ...
1
vote
1answer
222 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 ...
7
votes
1answer
371 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 ...
