Questions tagged [methodology]

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In what "time" should we work in when handling high frequency data with latency?

I am wanting to know if there is any standard approach for the following situation: We receive trade and order book data over a connection from an exchange and are interested in downsampling this into ...
QMath's user avatar
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FM regressions for size groups when examining a cross section of expected stock returns

When doing FM regressions for size groups similar to Lewellen (2015) (open access here), should I obtain the cross sectional rolling return window betas using only the size group? (E.g only use large ...
Julien Maas's user avatar
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1 answer
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Scaling variables (Fraction vs % vs log) when regressing twelve month returns

Dear Stack community, My question is the following; If my dependent variable is twelve month returns. And as independent variables I have fiscal year variables like ROA and log variables like the log ...
Julien Maas's user avatar
1 vote
1 answer
108 views

Calculating Ex Post Sharp Ratio's for decile portfolios

Dear Stack community, I hereby would like to ask what the correct calculation is for calculating Ex Post Sharp Ratio's. If I am correct, I already know that I am supposed to divide the average excess ...
Julien Maas's user avatar
3 votes
1 answer
345 views

Target variables in high frequency trading [closed]

Given that we are a market taker (removing liquidity from the limit order book through market orders), what should we be trying to forecast? It seems like the most pertinent thing for us to forecast ...
QMath's user avatar
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When should we use “internal consistency” test?

From a paper of Gao, Whited, and Zhang (2021), I saw a paparagraph We deviate from this traditional specification in three ways: we examine only money held by corporations, we include real GDP growth ...
Phil Nguyen's user avatar
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What is the relation between the trend of log and linear in accumulative data?

From this discussion, I know when to use the log, but now I am wondering how to guess the trends of log graph of accumulative data based on linear accumulative data graph? For example, this table is ...
Phil Nguyen's user avatar
6 votes
3 answers
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Why and when we should use the log variable?

Normally, I see finance papers use the real ratios but log regarding non-ratio variables. For example, some papers used log(asset) or log(1+firm age) or log GDP, but regarding the ratio, they use the ...
Phil Nguyen's user avatar
1 vote
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Pricing a TRS using the Projected method for the financing leg and the Accrual method for the asset leg

I've been wandering if would be possible to value a TRS I have in an unusual way. I would like use the accrual method for the asset leg, since the the asset leg is a long position in an equity and it ...
richteer's user avatar
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basic econometric model on country spread methodology

I am doing some research on Germany, France and Spain on their spread. I would like to try to 'forecast' or 'explain' the the spread on sovreign debt using OLS regression on unemployment and debt ...
Klapaucius's user avatar
1 vote
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298 views

How to measure the real interest rate using the consumer price index

I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. One of the ...
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Choosing an exchange rate in a macroeconomic panel data set

I am constructing an investor sentiment index to determine the impact of investor sentiment on stock market crises. I am following the methodology in this paper, http://121.192.176.75/repec/upload/...
damson_jam's user avatar
4 votes
1 answer
3k views

How should we select efficiently orders parameters in time series modelling?

A common way to select orders parameters (ex: to choose the number of AR terms to be included in the model ) in time series modelling is to rely on some Information Criteria (AIC, BIC, Hannan Quinn..)...
Malick's user avatar
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8 votes
1 answer
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Constant maturity futures price methodology

What is the correct methodology to compute constant maturity futures price. I've met in some papers that do the following. To create constant maturity synthetic futures prices with maturity $m = 30, ...
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