Vincent Zoonekynd
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 May4 revised Analytical relationship between a covariance matrix and cross-sectional dispersion Simplify the result: the Choleski matrix is not really needed. May4 answered Analytical relationship between a covariance matrix and cross-sectional dispersion Apr12 awarded Enthusiast Mar31 comment If the distribution of returns in symmetric, why not use a coin toss, small risk & high reward? Your strategy seems equivalent to the following: the price $X_t$ is a standard random walk, you buy at $t=0$ and sell when it reaches -1/2 or 2 (whichever comes first). In this case, the expected profit is zero. Mar22 comment a simpler test for normality given skewness, kurtosis and autocorrelation and size of time series To visually compare distributions, it is often easier (for the untrained eye) to look at the quantile-quantile plots: the sample data versus a gaussian distribution to test for normality, the first half of the sample versus the second half to test if the distributions are identical. Mar19 answered Time series of PCA - Sign change in factor loadings Mar1 awarded Editor Mar1 revised How to fit probability density function from sample moments? Explain what the GMM is. Note that it is overkill, here. Mar1 answered How to fit probability density function from sample moments? Feb7 answered How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption? Feb6 comment Calculating log returns using R To be sure that lag works as you expect, it is much safer to store your time series as zoo or xts objects: if you use vectors (or even ts objects), many operations will discard or ignore the timestamps. Feb3 awarded Teacher Feb3 answered How to simulate correlated assets for illustrating portfolio diversification? Feb1 awarded Supporter