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location Berlin, Germany
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visits member for 1 year, 11 months
seen Apr 16 at 20:48

Apr
16
asked At-the-money Call Spread approximation
Mar
24
awarded  Commentator
Mar
24
comment How to invest in Stocks without an intermediary
Do you mean direct stock-purchasing plans?
Feb
25
accepted Lagged dependent variable, yes or no?
Feb
25
awarded  Scholar
Feb
25
accepted Time Series or Regression
Feb
25
accepted Is the number of outstanding shares a stationary series?
Feb
25
revised Is the number of outstanding shares a stationary series?
deleted 43 characters in body
Feb
12
comment Is the number of outstanding shares a stationary series?
Could I save it by instead of using number of outstanding shares, the market cap? (Which is price * number of outstanding shares (for the moment I bypass freefloat adjusment). Note that one of the other explanatory variables is price. So I 've got P and P*N as explanatory variables, is that allowed?
Feb
12
comment Is the number of outstanding shares a stationary series?
Thanks for thinking along. Now as I simply take the differenced series most of them become a series that is 0 most of the time and now and then makes a sudden jump to come back to 0 (which was expected). This could very well be stationary right? It passed the unit root tests :). But the disadvantage that I'll lose knowledge about the influence of a absolute level of outstanding shares and only examine the effect a change in outstanding shares has. Am I right?
Feb
11
comment Is the number of outstanding shares a stationary series?
How? I am analyzing stock-liquidity as a dependent variable, number of shares is one of the explanatory variables...
Feb
11
comment Is the number of outstanding shares a stationary series?
No, it's not clear.
Feb
11
asked Is the number of outstanding shares a stationary series?
Jan
4
awarded  Editor
Jan
4
revised Lagged dependent variable, yes or no?
added 222 characters in body
Jan
4
asked Lagged dependent variable, yes or no?
Nov
6
comment How to properly take averages to reduce data in regression/panel data analysis
My dependent variable is the liquidity of a stock (several proxies are possible, for now I am using the ILLIQ measure of Amihud). For my independent variables I tried several combinations out of {Marketcap, Liquidity of the index it belongs to (3 indices), Number of Shares, Number of Freefloat share, percentage of shares that belongs to the freefloat}. Another thing I tried is to average vertically (over time) instead of horizontally (over stocks), which avoids the problem above of how to sort. Still my regression gives way too high p-values.
Nov
5
asked How to properly take averages to reduce data in regression/panel data analysis
Oct
16
comment Time Series or Regression
Am I not looking a fixed effect panel data regression of some sorts?
Oct
16
comment Time Series or Regression
Thanks for your reply. According to Wikipedia: A VAR model describes the evolution of a set of k variables (called endogenous variables) over the same sample period (t = 1, ..., T) as a linear function of only their past values. Is this what I want? The concept of regression came up because I'd figure the liquidity would depend on certain characterstics (that in turn could change over time) and not only depend on previous values.