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 ...
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1answer
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!...
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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 ...
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1answer
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 ...
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1answer
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
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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 $v_\pi(s)$ ...
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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 ...
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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 ...
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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) ...
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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 ...
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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....
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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71 views

solve.QP in R doesn't give a solution satisfying the constraint

I've dealing with a quadratic programming problem as following, and my objective is to get a 49*1 vector. $$\widehat{\boldsymbol{w}}^{0}(\tau):=\underset{\boldsymbol{w}(\tau) \in \mathbb{W}}{\arg \min ...
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46 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 ...
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33 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, ...
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120 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 ...
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50 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 ...
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99 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: $$z_t= a+ bX_t+e_t$$ ...
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1answer
72 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 ...
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20 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 ...
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292 views

Fama-Macbeth Regression: Weird Risk Premia

I just conducted a Fama-Macbeth regression where in the first step I calculated a time-series regression for each individual stock to get three betas (for mkt-rf, smb, hml) for each stock. Then I ran ...
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65 views

Problem in copula fitting

I have returns of 2 stocks: stock1 and stock2. And I want to fit pair copula. I use this libraries library(VineCopula) library(copula) then I select an ...
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126 views

Approximation of portfolio VaR (after mapping) when Delta and Gamma both equal zero

As titled, I am having trouble estimating the VaR of a portfolio mapped as a function of a single risk factor $S$, in the form : $$V(S) = S^3 - 30S^2 + 300S + 150$$ with current value $S = 10$. $S$...
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1answer
64 views

serial correlation and CUSUM results

I have the following CUSUM test resulted from autoregressive distributed lag models (ARDL). Does the CUSUM results show that the model is stable? I am a bit confused because the red line in CUSUM ...
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54 views

Nonlinearity in returns?

Reading academic papers on hedge funds, I find that many authors saying that hedge fund returns are often non-linear and thus many simple quantitative techniques are not suitable. It seems like they ...
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1answer
148 views

How to apply derived beta to daily change?

I've taken three months of price return data for two instruments and calculated a $\beta$ between the two using the formula $\beta = \frac{Cov(x,y}{Var(y)}$ with the goal of estimating what the ...
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0answers
40 views

Joint hypothesis tests

When running regressions, $$Y_t=\alpha+\beta_{9}x_{9,t-1}+\beta_2x_{2,t-1}+\beta_3x_{3,t-1}+\beta_4x_{4,t-1}+\varepsilon_t (1)$$ $$Y_t=\alpha+\beta_1x_{1,t-1}+\beta_2x_{2,t-1}+\beta_3x_{3,t-1}+\...
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1answer
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) ...
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0answers
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 ...
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1answer
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 ...
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1answer
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 ...
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1answer
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 ...
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1answer
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 ...
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2answers
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 ...
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1answer
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 ...
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1answer
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 ...
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1answer
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.. ...
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1answer
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? ...
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2answers
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 ...
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1answer
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 ...
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1answer
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 ...
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2answers
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 ...
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1answer
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 ...
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2answers
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 ...
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1answer
96 views

Can someone prove (or disprove) this assertion about the normal distribution? [closed]

Let $X$ be distributed as a $Normal (\mu, \sigma^2)$. Then for a fixed $\mu$ it is always the case that: \begin{equation} \frac{90th quantile-10th quantile}{\sigma}=constant \quad \forall \sigma>0 ...
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1answer
41 views

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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