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How random are financial data series?

I stumpled upon a blog post where someone did this work and reported about it here: http://www.turingfinance.com/hacking-the-random-walk-hypothesis/ Some quotes: The scores for the data sets lie ...
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How to implement rolling granger causality

I believe this may be of help: https://www.statsmodels.org/dev/generated/statsmodels.tsa.stattools.grangercausalitytests.html This allows you to run a granger causality of two variables. As for ...
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1 vote

Correlation with Differ Units of Measurement

When calculationg the Pearson correlation coefficient, it does not matter. It is defined as $$ \rho\equiv \frac{cov(x,y)}{\sigma_x\sigma_y}=\frac{\mathrm{E}\left((x-\mu_x)(y-\mu_y)\right)}{\sigma_x\...
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Correlation with Differ Units of Measurement

When calculating a correlation it is generally advised to standardize, yes. I don't see why this case would be an exception although failing to standardize wouldn't probably be the biggest issue here. ...
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6 votes

How can I measure returns such that the average is useful?

What does not work with the geometric mean? The geometric mean is computed with the following formula: $${\displaystyle \left(\prod _{i=1}^{n}x_{i}\right)^{\frac {1}{n}}={\sqrt[{n}]{x_{1}x_{2}\cdots ...
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How can I measure returns such that the average is useful?

Take the log return between days.
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