Questions tagged [statistics]
The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.
419
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Testing predictability of a proposed predictor in case of multiple returns
Say I have a T daily observations for the last ten years on a new predictor $x_t$ which I think is a predictor of the expected weekly return on the stock market, $r_{t,t+5} = r_{t+1}+...+r_{t+5}$, ...
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Empirical estimation of the rate parameter in exponential distribution of time arrivals
I am recording the execution time of aggregated trades on the BTCUSDT market on Binance. The websocket server delivers messages of the following form
{"e":"aggTrade","E":...
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Intraday tick volatility between a time interval
I would like to calculate intraday tick volatility between a time interval A to B.
E.g. If I have the quote and trade ticks for an instrument between 2023-02-17 10:00:02 to 2023-02-17 14:30:00, would ...
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sampling distribution function
from here https://mathworld.wolfram.com/StandardDeviationDistribution.html,
can someone please explain where that distribution function came from? Many thanks
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compute monthly realized variance forFama-French factor
I need to compute monthly realized variance from daily data for Fama-French factors. Knowing that Fama-French factors is the difference of return between different type of stocks, for example SMB ...
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Most famous research papers to get started in quant finance [duplicate]
I have a strong background in finance and I know how to code, but I am lacking the statistical modelling part. I have started courses in mathematics and statistics. However, it is turning out very ...
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244
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How to identify daily returns as an unusual daily return given a dataset
I am currently calculating daily returns of a stock with the following formula:
$$R_t = \frac{P_t - P_{t-1}}{P_{t-1}}$$
However, once I have the data, I am unable to establish a range to classify the ...
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164
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Compute monthly realized variance from daily data
I am confused about the correct formula to compute monthly realized variance from daily data. What is the first sigma in the picture: sum or average? I mean, after subtracting each observation from ...
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63
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Idiosyncratic risk (t statistic)
I am working on idiosyncratic volatility analysis and I would like to control for size characteristics following the method used in the paper "The Cross-Section of Volatility and Expected Returns&...
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159
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What program to use for reverse MIDAS?
I know EViews is used for mixed-data sampling (MIDAS). Can someone pls help me identify a program I can use for reverse MIDAS? Thank you.
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Does ratioa of risk-free asset and risk asset change efficiency in potfolio (counter-intuitive result in simulation)?
Good morning to all VSP (Very Smart People). I would like to receive your insight on a Monte Carlo simulation with a simple binomial pricing model that yielded a counter-intuitive result. I am not ...
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23
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Machine learning on NASDAQ [duplicate]
I want to perform an ML analysis on NASDAQ, based on historical fundamentals.
Suppose I want to take a temporal window of 10 year and quarterly data.
I have a question:
I suppose I should know the ...
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333
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Cointegration between crypto markets
I'm having an hard time understanding how cointegration works. Basically i'm trying to find cointegrated pairs in the crypto market, so i do the following:
Get OHLC data for the two markets (i'm ...
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59
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Correlation Spread Analysis
I want to calculate correlation with spread (which is often in dollar changes) and then a return but I want to make sure I get the most accurate result possible. What do y'all recommend?
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175
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How to implement rolling granger causality
I am investigating two time series where the first is the daily closing stock price changes and the other is the daily changes in the PCE index.
I want to investigate how much the PCE index explains ...
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84
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Correlation with Differ Units of Measurement [closed]
I was wondering how to accurately get the correlation between a variable of percent change return and a variable of dollar change or basis points. Should I standardize both variables or will that lose ...
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59
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Reasons for negative autocorrelation of forward prices
I am working on each trade day's forward prices of gasoline. I noticed that the autocorrelation at lag 6 is significantly negative. I know how to interpret negative autocorrelation in a statistical ...
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274
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How can I measure returns such that the average is useful?
If I measure daily returns by simple percent change, a -50% day then a +50% day (or vice versa) results in a true -25% total change, but the average makes it look like you would expect a total 0% ...
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32
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Retail vs institutional percentage estimation in equity futures market (CME)
I am trying to find the most/least "popular with retail futures traders" instrument based on public data. I managed to estimate retail/institutional proportions by aggregating OI data from ...
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2
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177
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Using the Fama-French 5 factor model in Panel Data
I have a question regarding the use of the FF5 Factors in an industry-fixed effects model. In order to clearify my question I'll post an example of my dataset
Note that this is just an example, the ...
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48
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Particle Filter Importance Weight (SIR) Calculation for Price Series
I applied a particle filter on a price series but I am not sure if my maths checks out, especially at the update part. I've followed this tutorial and Kalman-and-Bayesian-Filters-in-Python from Roger ...
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What is the Kurtosis of Returns in Geometric Brownian Motion?
Suppose that $dS_t=S_t(\mu\mathop{dt}+\sigma\mathop{dW_t})$ which has solution
$$S_t=S_0\exp\left(t\left(\mu+\frac{\sigma^2}{2}\right)+\sigma W_t\right),$$
such that $W_t$ is a Wiener process, $\mu$ ...
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290
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Principal component analysis on a yield curve
When conducting principal component analysis on the yield curve, PC1 = constant (level shift), PC2 = Slope, PC3 = Curvature. How do you interpret PC>3, e.g. PC 4?
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52
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Average probability of varying input data
New to the quant finance exchange. I am stuck with a question maybe someone could help me.
In the table below I have calculated if price is up/down w.r.t to the open shown in the 2nd column with ...
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95
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Normalized statistical risk/reward measures to compare different quant trading strategy's returns, eg for backtesting
Want to select a metric or metrics to compare returns of different investment strategies, for quantitative backtesting, strategy selection, and forward measurement.
Been reading different approaches ...
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220
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Interpreting the average correlation figure in Pozzi et al. (2013) paper
Has anyone read the paper "Spread of risk across financial markets:better to invest in the peripheries" by F. Pozzi, T. Di Matteo & T. Aste? If so, how do you interpret equation (1) in ...
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114
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What are the most common methods to model fat tails in the changes of asset prices?
I was wondering what the most common, or most popular, ways - in both academia, and industry - there were to model the fat tails of volatility in asset prices changes.
I am presuming a basic Brownian ...
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176
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Statistical metric to measure how well does the volatility surface fit the market
Suppose that I have a model for implied volatility surface and want to figure out required recalibration frequency based on historical quotes. Since I have a large range of strikes and tenors over a ...
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224
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Is it safe to assume inflation rate and treasury yields are stationary?
I have YoY percent change in CPI and the nominal 10 year Treasury yield.
I want to run some correlation analysis between them but worry they are not stationary. I ran a DF test and found that, ...
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how to derive t-statistic for alpha (Eq. 15.29) in "quantitative equity portfolio management"?
I am reading "quantitative equity portfolio management: an active approach to portfolio construction and management" by Ludwig B. Chincarini, Daehwan Kim, and am confused by this derivation ...
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97
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Why do Monte-Carlo methods converge quadratically?
I'm reading Sutton's Reinforcemant Learning: An Introduction, and here's a part from page 93 of this book:
In this case each return is an independent, identically distributed estimate of $v_\pi(s)$ ...
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283
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Shrinkage of the Sample Covariance matrix, theory
is there any theory behind the covariance matrix shrinkage paper, why it works?
I am talking about this stats exchange thread
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47
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Which distribution has higher VaR?
Let say I have 2 distributions with cdf $F_1$ and $F_2$. And I know that $F_1 \leq F_2$. With this information I know that $F_1$ has bigger lower tail than $F_2$ but I don't think this right away ...
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Fitting ARIMA + GARCH in R
I'm forecasting Electricity consumption Data. I have data for one year , so for every 15 minutes there is an observation. My data contains seasonality and I don't know how to fit SARIMA + GARCH into R,...
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495
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How can momentum trading strategies work if returns are not serially correlated?
Returns are demonstrably not serially correlated in most financial time series (Day 1 returns are uncorrelated to Day 2 returns etc.) . Since this is the case, how can momentum trading strategies work?...
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Compare errors in estimating a probability
Let $X_t$ be a geometric Brownian motion: $dX_t = \mu(X_t,t)dt + \sigma(X_t,t)dW_t$ with $W_t$ a standard Brownian motion.
Given the intervals $[t_{j-1}, t_{j}]$ for $j\in {1,...,U,...,N}$, let $M_j$ ...
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How to conduct statistical test to see if certain factors impact trading streategy
Since the seminal paper by Fama and French(1993) that uses size, market, and value factors to explain extra market returns on the equity market, people have conducted tons of research on equity factor ...
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Hypothesis testing book
I am looking for a book that is focused on hypothesis testing. I read "Hypothesis Testing: An Intuitive Guide for Making Data Driven" by Jim Frost and I'm looking for similar book which is ...
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How to annualize kurtosis of returns (in simple terms)?
I'm confused by this post on how to annualize kurtosis. I don't understand how to apply it to annualize the kurtosis for my data. In other words, if I evaluated the kurtosis of, say, monthly returns (...
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Fat tailed can be estimated through a t-distributions?
I have a simple question that makes me doubt a bit.
In a multiple choise exam I ecountered this question:
"if the stocks returns are not normally distributed, the fat tail effect can be estimated ...
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147
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in time series analysis or finance people use log return for inference but returns can take negative value [closed]
in time series analysis or finance people use log return for inference but returns can take negative value. but log cant take negative values. so why we use it when log is not defined on most of ...
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115
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Statistical significance in the context of financial data?
I understand statistical significance in the general sense: we take a sample from a population and compute some parameter from the sample to infer what is the propulsion parameter to some degree of ...
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Prediciting outperformance - choice of statistical design?
I want to predict relative outperformance between a stock and an associated benchmark index using statistical time-series models (e.g. ARIMA) and some exogenous variables (day of the week, corporate ...
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Compare portfolio returns across time dimension
I've designed a trading strategy and would like to understand whether the return profile for it differs for the trades implemented before and after the Covid pandemic. Specifically I would like to ...
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41
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Portfolio variance over time vs. Portfolio variance from mix of two assets
Here are two facts about finance:
1.
If stock returns are not independent, for example tomorrow's return equals today's return, then the variance over two days will be less than the variance of 1day*2....
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202
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Realized Volatility + GARCH - can I use hourly realized volatility?
I hav minute bar FX data and I am trying to fit a realized variance GARCH model using rugarch. This normally works by providing daily returns and daily realized volatility to the model.
Realized ...
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83
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Completing the financial investment disclaimer platitude with statistics terminology
Take the typical disclaimer often seen where investment products can be found. Here is a sentence from the fine print of BlackRock's fundamental equity fund page:
Performance data quoted represents ...
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41
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Real estate returns with incomplete dataset?
I have a dataset of real estate returns in markets A, B, and C. I also have national returns, denoted market N. I have 10 columns representing the time period for each data point. Market A only has ...
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186
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Contribution to Mahalanobis Distance
I am using Mahalanobis Distance to measure abnormal behavior within a portfolio consisting of a handful of general asset types, and am trying to figure out how to decompose this measurement into ...
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Backtesting of outperformance of a benchmark using the Deflated Sharpe Ratio
I want to test whether, let's say, strategy A outperforms strategy B.
In Marcos López de Prado's book Advances in Financial Machine Learning he presents the following statistics:
The Probalistic ...
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