# 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.

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### A term to compare 2 stocks based on simultaneous trending and ranging characteristics

There a 2 stocks called A and B. We take a look at the daily chart of both stocks over the last 1 year. On 90% of the days A and B both trended or at least one of A or B trended. On 10% of days both ...
129 views

### Оptimal strategy when throwing dice [closed]

Given a dice, you can throw it no more than three times, and you can stop at any time. How should you act so that on average you get as many as possible in the last throw?
1 vote
46 views

### Portfolio risk of correlated assets using Mahalanobis distance

I am trying to understand if there is an agreed methodology to measure the total risk in a portfolio of correlated assets. I am taking a simple model of stock prices following geometric Brownian ...
49 views

### Backtesting: choosing the "sample split" between in-sample and out-of-sample data

Aims: Given approximately 11 years of historical time-series data, to determine how much of this data should be reserved for in-sample and ...
80 views

### Test significance for information ratio

Suppose that we have an estimated Information Ratio $IR^*$ calculated from the relative returns between a portfolio and a benchmark. I am looking for a way to quantify the uncertainty of this ...
41 views

### How to construct the probability of default (PD) with not much historical data (<1 year)?

If a financing company has a new funding program, is there a statistical method that can be used to construct a probability of default (PD) for IFRS 9 ECL calculation purposes? Considering that ...
37 views

### Effect size for information coefficient

The information coefficient is the correlation between a signal $g(t)$ and returns $r(t)$. I’m hoping to build some practical intuition on the information coefficient. Similar to the notion of effect ...
46 views

I am an algorithmic day trader. I am trying to automate certain patterns on the stock markets. Suppose I have a model $M$ (with expected value $E$ and variance $V$) and a wallet with $X$ dollars in it....
71 views

I have a question regarding hypothesis testing. I used the t-test (2-tailed) for these hypotheses: Whether the (monthly) mean return of company A's stock is different from 0 Whether the (monthly) ...
178 views

### Effect of back-transforming forecasted mean of log returns to get forecasted mean of price

When trying to forecast time series, say forecasting the level of a stock index so we can forecast the future values of an option, it tends to be helpful to analyze the log returns versus the original ...