# Questions tagged [regression]

Techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables.

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### Align volume bars for multivariate analysis

Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was ...
28 views

### Appropriate regression when multiple dependent values for same independent value

I have a data set which looks as following: Y 1 2 1 1.5 1 2.5 2 5 2 3 3 5.2 3 6 3 6.8 4 6 4 7 And the corresponding plot is: What kind ...
65 views

### Beta estimates of Regressions on AR(1) Process

I am currently working through the paper The Myth of Long-Horizon Predictability  and I got stuck in reproducing the empirical results in Section 1.4. It is my understanding that time series of ...
24 views

### Python Panel Data Regression for OUP Calibration

I have a model for predicting stock returns that classifies stocks as overbought or oversold, kind of like an RSI. It follows an OUP and I am curious about my $\mu$, $\sigma$, and $\kappa$ parameters, ...
17 views

### CS-Regression Three Factor Model

1# When would the three risk factors market, size and value be priced in the FF Three factor model when performing cs-regression? How do you know that they are priced? 2# How would it be possible to ...
41 views

### What value to put in lm() function when testing for cointegration (R)

I'm a CS student working on a financial computing project + have a question regarding cointegration testing using linear regression with the lm() function. https://www.rdocumentation.org/packages/...
35 views

### Performance attribution and monthly rebalance: Is a month enough data to calculate Beta and Alpha?

A portfolio is built systematically by calculating scores and rebalanced each month to invest only in the 80 best scores. Scores change frequently and therefore the portfolio changes each month, ...
35 views

### Performance attribution, what type regression model to use

When carrying out a regression based performance attribution should you use OLS or WLS? I always thought that because of the heteroskedacity in the residuals that you should use WLS but is that ...
155 views

### Extrapolate Implied Volatility Surface

I have a moneynessratio-tenor volatility surface and want to extrapolate the implied volatility for moneynessratios > 150%. The volatility surface was downloaded for different points in time, so I ...
59 views

### How to use multi-periods and mult-factors to predict stock price by linear regression?

Give data in $t_n$ denoted by $[x_1^n, x_2^n, ... x_d^n]$ and label $y_n$ to be predicted. We can just train a $d$-dimensional linear regression $y_n=\sum b_ix_i^n$ to make a prediction. However, I ...
213 views

### Weighting stocks by market capitalization in a cross-sectional weighted regression

I am trying to regress stock returns on a series of factor scores to get factor coefficients. I want to weight the regression by the square root of market cap which I'm doing by applying a weighting ...
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### Testing pricing errors on the SML for significance with R

I have been attempting to do a cross-sectional test of the CAPM. To do this, i have estimated the betas of 49 industry portfolios with time -series data. And then done a cross sectional regression, ...
71 views

### Transforming non-normally distributed interest rates for OLS regression

I am studying the effects of short- and long-term interest rates on bank risk-taking in the Euro zone countries. To analyse the effects, I will use, amongst other, an OLS regression. However I have ...
331 views

### Best practice when computing beta coefficient

I was wondering how one should choose parameters such as "frequency" of returns (daily, monthly etc.), "time frame" (1 or 3 or 5 years of historical data etc), benchmark (same of the portfolio or the ...
153 views

### Reducing pricing errors (Alpha) in the CAPM with Bitcoin

I have been trying to examine, using the CAPM, if Bitcoin belongs in the market portfolio or not. With 10 industry portfolios from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library....