# Questions tagged [statistical-significance]

The tag has no usage guidance.

19 questions
31 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 ...
150 views

### Does historical backtest data mean anything? [closed]

Sorry for this being a basic question. If I take a stock’s historical data and check for some rule I have found to buy/sell = what happened if I bought and sold this stock according to this rule in ...
56 views

### Assessing goodness of a Technical Trading Rule using a ROC model

I am testing various technical trading rules (TTR) on the cryptocurrency market. I have already setup some significance tests, to compare the returns and volatilities. I would now like to test it ...
88 views

### Can the dependent samples t test be used for this problem?

Short story: I have 2 sets of data: Set 1: Daily data of stock market returns (eg. [1%, 1.2%, -2%]) Set 2: Those same stock market returns, multiplied by a number (eg. [2%, 0.6%, -1%] which equals ...
96 views

### Evaluate the significance of the relationship among VIX and the S&P 500

I have the weekly time series of returns for both VIX and S&P 500. For the VIX I'm looking at 1 week return period (e.g. this is a 5 day return series rolling weekly) For the S&P 500, ...
37 views

### Trading rules: Controlling the portfolio FDR+ level

I'm trying to apply the FDR+ (False Discovery Rate +) methodology from Bajgrowicz (2011) link another_link. I have computed the p-values with the stationary bootstrap as they did, however I am not ...
97 views

### Average Return Differential Calculation - Newey West t-Statistic

I am reading Table II on page 28 in Bali et al. (2007), Value at Risk and the Cross-Section of Hedge Fund Returns: Please can anyone explain the calculation of t-statistic and Newey West t-statistic ...
276 views

### R squared statistic in predictions of returns

My question is related to an article which use predictive linear regression for the stock returns. There is told that R squared statistic of 1.6% is high. How can we measure which R squared is high? I ...
79 views

### Proper Definition of Backtesting Parameter

Currently I'm trying to test the efficacy of a tail-hedging strategy in which an investor goes long in an index and correspondingly buys 1-month OTM put options. For practical reasons, the options ...
57 views

### What is a good statistical test on stock prices to indicate a company's value has changed?

My current test is to take monthly proportional price changes for stock XYZ and subtract out the proportional changes of the S&P500. Then compare the mean of a sample of XYZ-S&P (e.g. trailing ...
107 views

### The use of $p$-value in finance after the recent statement of ASA (American Statistical Association)

The ASA (American Statistical Association) has just released a statement about the misuse of $p$-value. Will this action have much effect on the use of $p$-value in finance?
228 views

### Significance testing of average returns from Sharpe ratio

I'm aware that one way to do significance testing on a strategy is based on the sampling distribution of its Sharpe (see, e.g., Lo, 2002 and Opdyke, 2008). However, it appears to me that there's ...
72 views

### Variable becomes more significant when more variables are included

I do some empirical research. I typically use regression analysis and panel data econometrics (with fixed effects). Usually, when I include more variables, the initial variables of the model become ...
58 views

### Compare performance buy-and-hold strategies after stock-split

QUESTION: How should I analyze the statistical significance of the difference between two buy-and-hold strategies (or the relative performance) when the samples are not independent? Background: I ...
654 views

### Kolmogorov-Smirnov test for Generalized Pareto Distribution

I've fitted my data to a generalized pareto distribution as to model the returns in the tails more accurately. The interior is fitted with kernel distributions. I would like to now test whether the ...
299 views

### Testing Statistical Significance of Various Portfolio Simulations

I'm trying to determine which of my portfolio simulations/backtests if any are good enough to put some money into. I outline an approach below and I'm interested in knowing: What problems are there ...
185 views

### Compare fund managers with insignificant alphas?

For my thesis I am evaluating two mutual fund portfolios in order to check for differences in manager performance. My hypothesis is that there will be no differences in performance (in terms of alpha) ...