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Results tagged with statistics
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user 2114
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.
7
votes
What advanced statistical techniques are quant researchers using?
I believe your conversation counter party did not mean to say that the theoretical nature of the applied statistical techniques are too advanced for a graduate math/stats/CS level student to master. I …
- 14.6k
6
votes
Profit estimation with a dice: 10 dollars for 6, -1 dollar for anything else
Its a simple expected value question:
Probability of throwing a 6 is 1/6
Probability of not throwing a 6 is 5/6
thus expected pay off per roll: 10 dollars * 1/6 + (-1 dollar) * 5/6 = 5/6 dollars
Ed …
- 14.6k
2
votes
Accepted
Partial Least Squares Discriminant Analysis
I liked the following introductions to Partial LS Discriminant Analysis:
Partial Least Squares for Discrimination
A Beginner’s Guide to Partial Least Squares Analysis
Here some reference …
- 14.6k
4
votes
.NET statistical packages recommendation
Not sure why Python is recommended when you clearly ask for a .Net solution (well you may look at IronPython but I do not recommend it given there are much better options, see below), aside the fact t …
- 14.6k
3
votes
Accepted
Statistical significance of a pair trading strategy
if you just want to test for significance of the generation of returns exceeding a hurdle rate then you can just setup a standard hypothesis test where you test whether your returns you generate from …
- 14.6k
3
votes
How to account for correlation between strategies when they are added linearly?
You are not forced to apply a certain way to account for correlations.
I recommend you think about the big picture first: Why do you want to account for correlations? Do you want to have a diversifi …
- 14.6k
2
votes
What do the terms in-sample and out-of-sample estimates mean in MVO?
I do not think they are directly applicable to MVO because inherently you always model the efficient frontier or asset selection on in-sample data and the result is measured out-of-sample. You can't s …
- 14.6k
3
votes
Interpretation of PCs
Yes you can, how depends fully on your required accuracy and also whether PC1 and PC2 are sufficient in explanatory power of the log differences of your futures contract.
Also, make sure you underst …
- 14.6k
14
votes
Kalman Filter Equity Example
A simple google search should get your started:
I like this one the best because it compares different packages:
https://www.stat.berkeley.edu/~brill/Stat248/kalmanfiltering.pdf
and here couple more …
- 14.6k
3
votes
Coin Toss System
1) The probability of a H or T of any next coin toss (fair coin) is always 0.5 because coin tosses are independent of each other.
2) Stock markets, or for that matter any asset, are an entirely diffe …
- 14.6k
4
votes
Squared and Absolute Returns
Simple...because you are interested in deviations from a metric, and not whether it deviates above or below. The very definition of volatility is a "measure of deviation". Squaring returns or using th …
- 14.6k
3
votes
Accepted
Calculate correlation between two sub portfolios and the combined portfolio
You can obtain the covariance between 2 portfolios by multiplying the row vector, containing the weights of portfolio A with the variance-covariance matrix of the assets and then multiplying with the …
- 14.6k