# 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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39 views

### GDP and Statistical Significance

Let’s say that we are defining a U.S. recession trend as 3 consecutive quarters of GDP decline. The GDP figures below would satisfy this definition. However, these figures are statistics taken from a ...
461 views

### What are "df", "t", and "p" in these sharpe ratio related estimates?

I am looking at some sharpe ratio related estimates and have not seen Sharpe stats broken down this way before. I don't know what is meant by df, t, and p. Can someone explain that to me? Thank you!...
109 views

### How to calculate 5 years return & STD for ETF?

I want to calculate by-myself 5 year return & STD for SPY ETF. What I did: Downloaded to Excel from yahoo finance historical data for the ETF (daily Adj. Close) from ...
57 views

### Calculating or finding info about the value of a market? for example Cloud Storage [closed]

I am assembling a pitch which will aim towards investors by the end of this year/beginning of next year, and I need to gather information such as how much the Cloud Storage market is worth and how ...
114 views

### Analyst Forecasts for monthly unemployment rate

Are there any resources that tabulate past analyst forecasts for the monthly unemployment rate along with the dispersion of the forecasts
80 views

### 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 $v_\pi(s)$ ...
19 views

### Computing the average deviation range in a mean reverting series

Given a mean reverting time series, what's the appropriate measure to use to compute the range it deviates by before reversion? Assuming normal distribution, taking standard deviations of the actual ...
37 views

### 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 ...
34 views

### [PYTHON - Create a For-loop for multiple regressions within the same/or different dataframe/s (Funds returns with fama french)

hopefully somebody can help me out, this is my first question on here. I have a dataframe with dates (Index) as the Y axis and the X axis (columns) hold all the dependent variables (target variables) ...
26 views

### Interpret interaction term between dummy and continues variable /bank risk (Beta and stock return)

I am using OLS regression to answer my research question.Well, I have two types of banks( Commercial banks and bank holding company's).My dependent variable is banks stock return in the first quarter ...
37 views

### 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....
100 views

### 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 ...
81 views

### 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 ...
39 views

### 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 ...
107 views

### How skewed are FX returns? Does this look like a plausible histogram of EURUSD?

I'm reading about volatility. I've charted the histogram of EURUSD and I am wondering if this looks plausible? What I've charted are the 1-hour percent change returns (not log returns). I've removed 0 ...
44 views

### How to calculate the longest expected losing streak for a system that trades all the index members simultaneously?

For a trading system that trades only one security we can easily compute the longest expected losing streak using this formula: where: n is the number of trades, ln is natural logarithm, P is the ...
71 views

662 views

### conditional probability of default

I would like to ask the following question. I would appreciate if someone could help me out. On what argument is based that states that conditional default rates ( loans of corporate borrowers) ...
82 views

### 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 ...
60 views

### The weight of interest rates

Why are average interest rates often weighed by loan (and deposit) sizes? Since the size and interest rate of a loan are function of each other, I expect the resulting statistic to be hard to ...
185 views

### EM for conditional Gaussian model

Let $$X_1\sim N(\mu_{X_1},\sigma_{X_2}^2)$$ $$X_2\sim N(\mu_{X_2}, \sigma_{X_2}^2)$$ where $\mu_{X_2}=c+aX_1$. Also, I have data $D$ (with missing values on $X_1,X_2$). How can I update/estimate the ...
502 views

### Impulse response function interpretation

I would need a quick help with Impulse response function interpretation which I have done after Vector autoregression model in stata. I need to understand how to interpret IRF graph or table values ...
991 views

### Calculating the Sum of Squared Deviations between two Normalized Price Series

How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...
173 views

### How does trndbot generate buy/sell signals?

I was looking at trndbot and it's buy/sell signals are pretty good - what algorithm are they using to generate these signals? Although it maybe similar to bollinger bands, it algorithmically ...
95 views

### Why is a smaller portfolio norm better?

If the norm of the portfolio weight vector, $\frac{1}{p}\sum_{i=1}^n |w_i|^p$ for $p=1,2$, of portfolio A is 0.6, and the norm of portfolio B is 0.4, then portfolio B is considered more attractive ...
2k views

### Calculate the total returns from the total return index [closed]

I have the Total Return Index(RI) for several companies. I know that I can calculate the log retunrs with $ln(RI_t/RI_{t-1})$. Therefore my first guess would be to ...
308 views

### Error/Bug in computing the Hurst Exponent on timeseries

I tried calculating the Hurst Exponent using c#, and compared the results to a series with a known exponent. I am having the following issue in my calculations: 1- All my results are negative.. ...
192 views

### How to extract p-value from ur.df package of urca in R? [closed]

I want to extract the p-value from the below output. How do i get it? ...
92 views

### Is there a way to formulate a Martingale series that will never explode?

Martingale's betting method can be seen here:https://www.investopedia.com/articles/forex/06/martingale.asp My question is if there is a way to put a non-exploding martingale, [There is one attempt to ...
88 views

### How to calculate number of round trips given volatility?

Suppose we know stock price volatility is normally distributed with mean = 0 and annual volatility say 20%. Let's assume markets never close and we can trade at 1 second intervals. Let's assume stock ...
1k views

### Probability distribution and Stock Price Movement [closed]

How can we use normal distribution for finding the probability of a stock price offer where current price offer depends upon the last price offer. The price offer on some day can go 10% above (at the ...
205 views

### What's the difference between Statistics and Econometrics? [closed]

I can't really grasp the similarities and differences between Statistics and Econometrics. Is Econometrics includes every Statistical models inside it? or is there areas of Statistics outside of the ...
63 views

### Topics for a 5 ECTS point project in a Msc Applied Math prorgram [closed]

I need 5 ECTS to complete my education (Msc in applied math, finance track). A statistics professor have agreed to do a project with me but I need to come up with the topic myself. Can you reccomend ...
590 views

### What are important statistical concepts used as a quant?

I'm interviewing for some quantitative researcher positions at some hedge funds, and I've been told that there will be one interview session focused on stats, and one focused on ML, among others. This ...
Let $X$ be distributed as a $Normal (\mu, \sigma^2)$. Then for a fixed $\mu$ it is always the case that: \frac{90th quantile-10th quantile}{\sigma}=constant \quad \forall \sigma>0 ...