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 ...
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 ...
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 ...
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 ...
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 ...
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 ...