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Results tagged with statistics
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user 8153
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.
24
votes
How did James Simons clinch that security prices didn't look random?
I'm sure Simons, as a first-rate pure and applied mathematician, had sufficient understanding of statistics to detect market inefficiencies and anomalies. … As far as I know, the development and practice of statistical arbitrage as well as derivatives pricing has never been the exclusive domain of "outstanding probability or statistics professors." …
- 3,730
9
votes
Accepted
Correlation between stock prices given correlation between returns
We can obtain a closed-form expression for price correlation given (log) return correlation when the two stocks follow geometric Brownian motion:
$$S_1(t) = S_1(0)e^{(\mu_1- \frac{1}{2} \sigma_1^2)t} …
- 3,730
10
votes
Why shrink the covariance matrix?
The estimation of a covariance matrix is unstable unless the number of historical observations $T$ is greater than the number of securities $N$ (5000 in your example). Consider that 10 years of data r …
- 3,730
5
votes
Accepted
Can portfolio Value-at-Risk be calculated analytically for multivariate t-distributed returns?
Let the $n-$dimensional vector of returns $\mathbf{r}$ have a multivariate t distribution with $\nu$ degrees of freedom. The marginal distribution of any component $r_i$ has a univariate t distributio …
- 3,730