Reputation
1,238
Top tag
Next privilege 1,250 Rep.
Create tag synonyms
Badges
9 21
Impact
~48k people reached

  • 0 posts edited
  • 0 helpful flags
  • 225 votes cast
Apr
11
awarded  Popular Question
Feb
9
awarded  Favorite Question
Feb
1
awarded  Yearling
Jan
6
awarded  Popular Question
Jul
2
awarded  Curious
May
30
awarded  Popular Question
Mar
21
awarded  Notable Question
Feb
6
awarded  Popular Question
Feb
1
awarded  Yearling
Oct
30
awarded  Popular Question
Jul
22
awarded  Good Question
Feb
1
awarded  Yearling
Dec
14
awarded  Popular Question
Oct
14
awarded  Popular Question
Oct
2
comment Running a simple alpha estimation test for statistical significance of a signal
They way you ask your question makes me think that you are looking for somekind of bootstrap test. A related paper on that would be : Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev. Of course this will not actually tell you if you have found alpha. For this I think you should be looking at parametrical test.
Sep
23
reviewed Approve Hedging stocks with VIX futures
Sep
21
awarded  Custodian
Aug
15
reviewed Approve portfolio optimisation with VaR (or CVaR) constraints
Jul
29
comment Is it more accurate to analyze returns on a calendar day basis than a trading day basis?
Agree with @chrisaycock and JL344. It is definetly not standard but assuming friday to monday returns come from the same distribution as thursday to friday is a bit insane. (most people might be)
Jul
17
comment Multilayer Perceptron (Neural Network) for Time Series Prediction
@lehalle excellent answser