# 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.

105 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
46 views

### Average of R squared correct/allowed/useful?

I just conducted a Fama-Macbeth analysis to estimate the risk premia of Fama/French. In short, I estimated the betas on a company-individual basis first and then conducted a cross-section regression ...
43 views

### Correlation coefficient without cash flows?

I'm an intern at a company and one of our tasks is to calculate the the probability of default of both participants of a Swap(a Client and a Bank), for which we first need the correlation coefficient ...
83 views

### William K. Bertram's sharpe formula checking

I have some issues to verify by simulation the formulas in the paper of William K. Bertram "Analytic solutions for optimal statistical arbitrage trading". first, the reversion parameter alpha=180 in ...
28 views

### Which technique determines if var x1 leads var y? Assuming var x1 may need to be transformed

Suppose I want to predict future changes in variable y (stock price over time). I notice that variable x1, inverted and delayed three months, tends to lead y. Which technique can I use to find other ...
491 views

### How to normalize stock exchange indexes

I am doing an academic research in behavioral finance and I need to calculate my abnormal return based on the normalized returns of the stock exchange index being the S&P 500. In other words, I ...
64 views

### statsmodels's granger causality tests return value

im a developer(with no background in statistics) and i need to use granger causality test, i cant seem to understand the results of the func. one result: Granger Causality ('number of lags (no zero)'...
58 views

### Statistical distribution of MACD

I was (unsuccessfully) trying to find results on what the distribution of the MACD values for a stationary time series with IID returns would be. Are there any such results or any that go in a similar ...
33 views

### Using CFNAI index for identifying sample periods

I'm doing my Thesis on Asset pricing models and I would like to find out the effects of business cycles on the performance of asset pricing models for industry portfolios. My initial idea was to ...
313 views

### How to obtain annualized IR from t-monthly IC?

When we checking the relation between some factors and Stock price, we could use Information Coefficient(IC) to meausre. And then I already have t-monthly IC for each factor, and I need to calculate ...
34 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 ...
46 views

40 views

### What does p-value adjustment under FWER do?

The background is I am predicting a time series with three strategies, the hypotheses is the strategies have a non-zero Sharpe ratio. I am reading Backtesting, by Campbell Harvey and Yan Liu paper in ...
30 views

### Computing statistics from historical returns

I'm reading age 35 of "Advances in Machine Learning" by de Prado. Consider an IID multivariate Gaussian process characterized by a vector of means μ, of size Nx1, and a covariance matrix V, ...
71 views

### Martingale stochastic processes

Does anyone know how to do this question? A player whose initial holding is $N$ bets 1 on each game of a series of independent identical parts. He loses his bet whether he loses or he wins but, if he ...
72 views

### What should degrees of freedom $\nu$ be set to when modeling financial returns that follow the t-distribution?

The closer the t-distribution degrees of freedom ($\nu$) is to 0, the more heavy are the tails, whereas high degrees of freedom recovers the normal distribution. In finance, what value is usually used ...
40 views

### How to understand the results of the Johansen test?

So I now there are numerous pages on the johansen test, and what the results mean. Though I am confused as to what it is doing exactly. So my understanding is that it will find the spread of 2 ...
35 views

### Comparing curve fits

I am experimenting with building a forward curve. I have a piece of code which constructs my prototype curve. I've got a curve sample which was constructed manually and I use it as the baseline - the &...
45 views

### Escape Dynamics in financial economics or time series

These slides describe escape dynamics to be a type of, or having some relation to, rare event(s). Black swan events in business cycles was also included under the definition of rare events. My guess ...
257 views

### How to annualize skewness and kurtosis of a forecasted distribution

I have a (non-normal) distribution of expected cumulative returns 10 quarters in the future, from which I have calculated mean, standard deviation, skewness and kurtosis. I would like to annualize ...
81 views

### Understanding output from Johansen Cointegration test

I have a VECM model that Im using to determine the revenues for a firm, based on factors like Interest rates, S&P 500 and company specific variables, as follows: Stage 1: $$z_t= a+ bX_t+e_t$$ ...
49 views

### Performance attribution of indices to their sector weights

Is it possible to attribute performance of indices (monthly returns and risk measures - Sharpe ratio, etc.) to their sector weights (if I know them)? Example: I know the monthly performance of ...
19 views

### Sample conditional multivariate random variable?

There's multivariate random variable, future prices of assets, 5 years from now: $$X = [Gold, Silver, SP500]$$ There's historical prices for $X$ available for last 50 years. It's possible to fit ...