# richardh

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finance PhD student

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 Nov14 answered How to check if a timeseries is stationary? Nov14 comment How to check if a timeseries is stationary?@Dam -- I will post some code in an answer. Nov13 comment Any recommendations for textbooks for an undergraduate course in mathematical finance?Are MFE/MSCF students not well-prepared? I would guess that you'll find the right level in Shreve's two book series. If these kids are really that tough, then use Duffie's. Although if these kids don't have exposure to the concepts in finance, then you may be best of with Hull's book and beefing up the math where necessary. Nov13 comment How to check if a timeseries is stationary?@Dam -- You can reject the unit root and still have time-varying volatility. Maybe you want to fit an ARCH model? Nov13 comment How to check if a timeseries is stationary?I agree with the Phillips-Perron test. The Augmented Dickey-Fuller test is not robust to the selection of the number of lags. The KPSS test differs from these two tests in its null hypothesis, which is trend stationarity. Sep22 awarded Enlightened Sep22 awarded Nice Answer Sep6 awarded Nice Question Sep2 comment Garch modelling on Stata@sheegaon -- Good point. But it's a RTFM answer (or a LMGTFY answer) that doesn't add much to either community. I will see if the QF community closes. Sep2 answered Garch modelling on Stata Aug15 comment How many explanatory variables is too many?@gsk3 -- But I do see your point, in a specified range of regressors, for your use the multicollinearity isn't the end of the world. Aug15 comment How many explanatory variables is too many?@gsk3 -- Read the next two bullets. Causality doesn't matter in sample, but it does matter out of sample. That slideshow is a good find -- Wooldridge, Cameron & Trivedi, etc, don't devote any attention to multicollinearity. Aug15 comment How many explanatory variables is too many?@gsk3 -- You are right that you must test sub-samples, but the holdout sample won't necessarily catch multicollinearity. Using the ridiculous humidity example, because the humidity at Broadway and 34 is practically the same as the humidity at Broadway and Wall, there are a lot of linear combinations that sum to $\epsilon > 0$. In this example the multicollinearity would be obvious because $\beta_{midtown} \approx -1 \times \beta_{downtown}$, but if you're in the habit of having too many regressors, then it may not be easy for you to identify. You need to test adding & removing regressors. Aug15 comment Is there a quantitative finance ranking system for universities?We will see how the community responds to your rephrasing, but this is likely a better question for advisor (you said you were a PhD student, correct?). Even if someone finds a ranking system, I would take it with a large grain of salt. Rankings for UG/MBA programs work because they have huge numbers of applicants and graduates (and graduates only care about USN&WR rankings), but when it comes to PhD and beyond, it is probably best to know the research and meet the researchers, then make a more subjective decision. Aug15 comment How many explanatory variables is too many?@gsk3 -- And this wouldn't set the upper limit on the number of factors/regressors. I could add humidity downtown and humidity midtown as regressors in my model and "improve" its explanatory power, although these almost certainly have no impact on my model. Because these are collinear, I could get economically and statistically significant coefficients on these factors, even though a change in humidity has no impact on the market. Aug15 comment How many explanatory variables is too many?@gsk3 -- Isn't everything in sample? I don't know tomorrow's data and I would use all (relevant) available data to calibrate my model. If my model is correct, then it should work in sub-samples, unless I think there are multiple regimes, but then it should work in sub-samples of the relevant regime. Aug13 answered Has high frequency trading (HFT) been a net benefit or cost to society? Aug13 answered How many explanatory variables is too many? Aug8 answered Can risk aversion indicators anticipate ﬁnancial crises? Research and/or strategies Aug4 comment How do I backtest a convertible bond arbitrage strategy in R/Matlab?OK. I guess I consider that more a Greeks question than a backtesting question. Have you considered RQuantLib?