# Questions tagged [statistical-finance]

Statistical finance, which is also called 'econophysics' is the application of statistical tools to the study of financial markets data.

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In this article, "Flocking behavior of US equities": https://www.cs.dartmouth.edu/~lorenzo/teaching/cs174/Archive/Winter2013/Projects/FinalReportWriteup/ira.r.jenkins.gr/final.html They use ...
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### Why do ATM options intuitively have higher Time Value (Extrinsic Value) than Out- and In-The-Money options?

I'm trying to get some intuition concerning the Black Sholes Formula and in doing so I've come across these graphs: Trying to understand the intrinsic value relationship with Options Value was ...
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### Combination of factors

Let's say I have 10 factors and I want to find a combination (basically sum of exposures) of factors (of any length) from this set which has max sharpe. Is there an easy way to find this out rather ...
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### Algorithms or references on how to detect and potentially remove jumps in stock returns

Sorry if this has been asked before. Thought this is a standard question but searching on web didn't give me too much useful links. Assuming a series of stock prices, how to detect and potentially ...
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### Fama-French Regression Output Interpretation (Intercept/Alpha)

I am currently doing a report regarding Fama and French 3 and 5 factors model. I was provided 3 companies with each of its daily stock return from 2015-2020, and the values of all 5 factors during ...
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### How many principal components to use for statistical risk model?

If I use every principal component to explain total variance of my portfolio, does it still make sense in portfolio optimization? Because since alpha factors try to find out and explain unexplained ...
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### I require help to find a good data source for my thesis

I require help to find a good data source for my master thesis. I am doing a regression analysis for macroeconomic indicators and valuation multiples, for eurozone stocks. I need quarterly information ...