# 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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58 views

### Cross Product Ratio Analysis

Can you please advise? I have been recently trying to sort this out for couple of days but cannot get the same numbers as previous authors: The equation is shown in Agarwal and Naik Multi-Period ...
101 views

### Most profitable? High % but low probability or Low % but high probability

I have identified a pattern in different assets where a quick spike/flash crash often occurs, dropping the price between -5% and -15% for a few seconds and then going back to previous average. I am ...
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### Testing the accuracy of a created Index

So long story short, I created a Oil/Energy Index from a basket of 5 stocks in the asset class. I am looking to use mean-reversion, in order to help rebalance the allocation of funds between ...
96 views

### Longterm memory in interest rate data - R/S analysis

Am currently investigating long term memory in interest rate data. The two sources I am using are Peters (1996), "Fractal Market Analysis" and an article published in the Journal of Fixed Income, "...
69 views

### which method is the roubust method to estimate the Hurst parameter?

I know there exist lots of method to estimate the Hurst parameter, such as R/S, V/S, GHE, DFA, DMA, Wavelet Spectral Density, Whittle and so on. Can you tell me which one is the best one. Is anyone ...
79 views

### Ljung_Box Statistic of R and R^2 values in Return analysis

I have found a result that I find truly puzzling. Here is an extract from a GARCH-Analysis I have performed: Test______________Statistic_______p-Value Ljung-Box Test_____R Q(10)_____0....
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### What is the fastest common moving average?

I am trying to find what standard moving average would give me the fastest adjustment or strongest weight to most recent data, but without changing the number of periods. Here is some sample data and ...
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### Statistical procedures on comparing the four Asset pricing models [closed]

I'm a business student and currently writing my thesis on comparing asset pricing models on industry portfolio returns. Being a business student, I lack the knowledge for statistical analysis ; so I ...
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### Decomposition of interest rate risk [closed]

Hi I needed some clarification on something. I have three variables: V1 which is an indicator of an interest rate risk premia V2 which is an indicator of a credit risk premia V3 which is an ...
32 views

### How to count [and report] the values of significance at 1% and 5%?

I am slightly confused with this: I have calculated the Chi square for the number of funds and the methods description tells me that if the values I have calculated are greater than 3.84 (6.64) that ...
36 views

### Is there a quantitative definition of a Quiet, Moderate or Accelerate market conditions?

i know the StdDev price technical indicator which is the standard deviation but this one has an absolute value. The market conditions are: Quiet: lower oscillation of price around a constant ...
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### Is there a mathematical way of showing the slowing down of economic markets?

I'm currently taking a introductory mathematical finance course in university and recently on the news (BBC, etc), it states that the economic markets are shown to be slowing down for the next few ...
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### Multi-Variate linear modeling: how to calculate mathematically vs brute force genetic optimization

I have a hand full of daily economic data. I am currently using a brute force approach. Genetic optimization is only used when k is very large. This method is beautiful to me, but isn't valuable ...
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### Kelly Variance - variance of the sum of logs

I am working through Thorpe's Ch 9 on the Kelly criterion. On page 9 Thorpe states: $$Var(ln(1+Y_if)] = p[ln(1+f)]^2 + q[ln(1-f)]^2 - m^2$$ Since $var(X) = E[X^2] - m^2$, p[ln(1+f)]^2 + q[ln(...
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### CAPM Beta zero-correlation performance issue

I am working on a research project that requires me to run a CAPM regression on all intra-day stock quotes in NSDAQ, NYSE and all other U.S. exchanges since 1993. The precision of the quote data is ...
33 views

### Where can I find statistical data about legal lawsuits against commercial and investment banks?

I am searching international statistical data about legal lawsuits against banks over allegations on on money laundering, tax fraud, suspicious transaction, financial markets prices manipulation, ...
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### Nature of the sample [closed]

When we calculate a difference between the market price and modelled price. so to test the significance whether we apply dependent test or independent test.
1k views

### Implied Volatility of stock on Think or Swim

Think or swim has this thing where they have do a implied volatility of a stock. I have chatted with the TOS people but they aren't terribly helpful. Regardless they did send me two images of what ...