The finance tag has no wiki summary.
1
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1answer
72 views
First steps learning to predict financial timeseries using machine learning
I am trying to get a grasp on how to use machine learning to predict financial timeseries 1 or more steps into the future.
I have a financial timeseries with some descriptive data and I would like to ...
2
votes
0answers
25 views
How can I convert annual standard deviation to a longer period?
Quicken provides annual standard deviation of returns for a given portfolio using analysis done by the Newport Group. I'd like to convert this to a longer term number--say 10, 20, or 30 years.
...
0
votes
1answer
37 views
Performance decay when testing on bootstrap data
I have a strategy that has a Sharpe ratio of 1.6 when back tested over the past 10 years. When I run this same strategy on re-sampled data, the performance of the strategy goes down to 1.32.
Should ...
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0answers
46 views
“system is exactly singular” in R function BoxCox.ar
I'm trying to perform a Box-Cox transformation on some financial data (SPY).
The BoxCox.ar function (in the package TSA) gives me the following error:
...
0
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0answers
164 views
How helpful is a quant job in Goldman Sachs for later PhD in Machine Learning?
I am a masters in Computer Science and am interested in pursuing a career in Machine Learning, possibly academic, in the long run.
I have been offered a position related to Financial Modelling at ...
0
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0answers
43 views
Is average the best metric for aggregate correlation across financial time series?
I read this question. However, I'm not sure if my question is necessarily redundant. I'm just wondering if it is appropriate to use average correlation as the best measure of overall dynamic time ...
1
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1answer
93 views
Estimate just the constant coefficient in logistic regression
How do I calculate the constant coefficient in logistic regression manually, i.e without having to use a calculator?
My model is
$g(Y) = X \beta + \alpha$
is it possible to calculate just the ...
1
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0answers
64 views
I have two sets of data (regular time intervals) is there any way to find out when they correlated the most and when they don't?
Sorry if the title is a bit vague however, i'm not sure exactly how to make my sentence concise.
I have two times series:
Amount invested into Iraq across time (in months)
Price of a stock across ...
2
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0answers
33 views
Fitting series to a distribution
I am reading this note on Mean-CVAR optimization. The authors argue against the prevailing assumption that asset classes are normally distributed and propose using a truncated levy flight distribution ...
0
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1answer
68 views
What is the distribution that can properly describe the PE fluctuation of a stock
I have observed the historical PE (price / profit) value of a stock and realized that it roughly follows a log normal distribution. However, even when the next earning data point is easily ...
8
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0answers
89 views
Irregularly spaced time-series in finance/economics research
In financial econometrics research, it is very common to investigate relationships between financial time series that take the form of daily data. The variable will often be made $I(0)$ by taking the ...
2
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0answers
41 views
An investment and variance question for monthly payments
I have a question regarding a financial/statistical problem.
How do you calculate the variance of the outcome of an investment in a stock, when the investment is so called time diversified, i.e. ...
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0answers
54 views
How to discretize the variance gamma process for simulating stock prices?
I want to do a stock price simulation. First of all, I used the GBM. To simulate the values, I didn't use the closed form solution for the GBM given by:
$$
S_t=S_0\exp[(μ−σ^2)t+σWt]
$$
but the ...
0
votes
2answers
49 views
Book on computational data analytics and applications of data analytics
I'm looking for books / papers / articles for understanding:
Computational Techniques for Large-Scale Data Analysis. This covers:
mining, cluster analysis, association analytics, MapReduce, ...
0
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0answers
24 views
Year-over-year tax rate comparisons with no constants?
Is it possible to derive a single formula to track year-over-year changes in effective property tax rate when all values fluctuate?
My inclination is that this is not possible, but I would like to ...
0
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0answers
56 views
Stock price max / min strangeness
Stock markets are often described as following a random-walk or something similar. I have a process that automatically picks a trade entry time and a trade exit time for a given stock. After 1000 ...
4
votes
2answers
471 views
What is the difference between GARCH and ARMA
I am confused. I don't understand the difference a ARMA and a GARCH process.. to me there are the same no ?
Here is the (G)ARCH process
$\sigma_t^2 =
\underbrace{
\underbrace{
\alpha_0 ...
1
vote
1answer
315 views
Cointegration testing with a dummy variable
I have the model:
$y_t = \alpha + \beta_1 x_t + \beta_2 D_t x_t + \epsilon_t$
With $y_t$ and $x_t$ as $I(1)$ processes, and $D_t =1$ during a large financial crisis, $D_t = 0$ during non-crisis ...
2
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0answers
109 views
Independent t-tests and Technical Indicators: Voodoo, Axes, and Objectivity
First off, I'm not trying to crowd source a personal printing press (i.e., not doing this: "I'm using strategies x, y, z in the stock market and..."). Instead, I'm looking for feedback on research ...
0
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1answer
56 views
Regressing on only the positive part of a vector
I have an interesting question, with its original application in finance. Suppose I have a stock return $Y$, and a set of independent variables (other tradable assets) $X$. Typically, one hedges Y ...
1
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0answers
83 views
Multivariate normal - conditioning on absolute values
I’m reading a paper and really struggling with one appendix. Basically they derive conditional expectation of a multivariate normal, conditioning on absolute values.
Let
$$\boldsymbol y
=
...
4
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0answers
159 views
Had statisticians predicted 2008 financial crisis?
Are there any statistical or econometric studies before 2008 that predicted 2008 financial crisis?
Note that there are some publications that attemp to predict contagion between markets using copula ...
1
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0answers
80 views
Report coefficients or odds ratio in ordinal logit/probit?
I'm doing ordinal logit/probit only to analyse the direction of causality (e.g. if some variable makes it more likely to observe a low scale or a high scale). No interpretation is needed beyond this.
...
0
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0answers
59 views
Present Value Model: how to determine the price at the beginning of period $t$
I want to estimate coefficients of the Present Value Model of a stock exchange (as defined here). The model uses just two variables, namely: "price at the beginning of period $t$" and "forthcoming ...
2
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0answers
56 views
What does this formula (to derive the annualized volatility for the VaR) mean?
I'm faced with the formula shown in the image below, which I just don't understand, in part because I've no grounding in stats, and in part because I don't even understand the notation:
What's ...
2
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0answers
207 views
Implication / Interpretation of long term equilibrium VECM
I want to test the influence of exchange rates on a price index and struggle with the interpretations. My variables are I(1)
First, I ran an OLS on first differenced variables which indicated a ...
3
votes
5answers
233 views
Modelling market mode (trending vs about to reverse)
I am interested in stochastically modeling whether the market is likely to go on in the same direction(trend), or reverse and head back. This is all for intraday purposes, next 1-2 ticks kind of ...
2
votes
3answers
256 views
Which stocks fell first after some event?
I have a panel of daily stock prices $\{Y_{it}\}$, $t \in \{1,...,1000\}$ and some event that occurs at $t=700$ which causes the average stock price to decrease by about 10% over the next 15 days.
...
0
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0answers
210 views
Time series analysis with R [closed]
Previously, I did a basic course on econometrics which was mostly theoretical in nature and covered all the basic techniques up to cointegration.
I have this project in which I have a financial time ...
4
votes
1answer
255 views
Resources about forecasting stock returns with SVR
I'm currently working on SVR to predict stock market returns and I would like to know if anyone of you could give me some advise regarding interesting papers on it.
These are the articles I'm ...
0
votes
0answers
114 views
The statement of homoscedasticity of variance when describing the OLS model
In an applied econometrics paper, the author states the model to be estimated as:
Why does the author claim homoscedasticity? This isn't making sense to me; can't the population variance-covariance ...
0
votes
1answer
90 views
Determining which stocks fall first in a stock market crash
Let $R_{it}$ and $R_{mt}$ be daily stock returns for some company $i$ and the daily market index returns (respectively), with $i \in \{1,...,N\}$ and $t \in \{1,...,200\}$. It is common to have ...
2
votes
1answer
1k views
Negative adjusted r-squared (coefficient of determination)
I have the cross-sectional model:
$Y_{i} = a + b X_{1,i} + c X_{2,i} + d X_{3,i} + e X_{4,i} + \nu_i$.
The application is corporate finance. So each $Y_i$ is something like the change in Return on ...
5
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0answers
121 views
Gigantic kurtosis?
I am doing some descriptive statistics of daily returns on stock indexes. I.e. if $P_1$ and $P_2$ are the levels of the index on day 1 and day 2, respectively, then $log_e (\frac{P_2}{P_1})$ is the ...
3
votes
0answers
263 views
Lag length selection Granger causality test
Consider G-Causality on two stationary time series vectors (call these variables $X$ and $Y$), each with 100+ observations. It's daily financial market time series data. I have reason to believe that ...
5
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4answers
190 views
Why is volatility an important topic in financial econometrics?
I do not know if it is totally off-topic, but I thought it might be useful to have opinions and an aggregate answer about why volatility is an important topic in financial econometrics.
I think it ...
1
vote
2answers
326 views
Skewness, kurtosis and normality of a time series
I have a sample size of $21$ with $496$ observations.Can I presume an approximately normal distribution,and use a $t$-test to compare the difference in means, and difference in various financial ...
3
votes
0answers
145 views
Time Series: correcting the standard errors in a huge panel time series data set
I have stock returns at every 5 minute interval of each trading day for over 2 years for 40 stocks. I want to run a Fama-Macbeth regression by time interval (5min intervals) and then correct the ...
3
votes
1answer
143 views
Predictive models with large numbers of missing values in the features
I have been trying to train an algorithm to predict if an account will close or not using thousands of data points and many features.
I am using data from the month before the account closed but ...
2
votes
0answers
165 views
Efficient Portfolio Optimization Through Simulation
Apologies in advance for the (possibly?) poor terminology as I'm a bit of a novice in the field. I was torn whether to ask this on stackoverflow or here, so hope its the right place.
Anyway, my ...
0
votes
1answer
205 views
Rolling price returns in a linear regression
I want to conduct a linear regression (in matlab) using rolling monthly returns; the aim is to give me a prediction for the next monthly rolling period return.
return calculation:
...
0
votes
0answers
60 views
How I use cross validation to estimate parameter for cointegration?
I am evaluating cointegration in pair of stocks.
I make an Ordinary Least Square regression, and than I test if the residuals are stationary using the Dick Fuller Statistic on the residual. I will ...
2
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0answers
97 views
Is is correct to compare t-statistics of different pairs of cointegrated timeseries?
I am testing for cointegration all the pairs from a set of 100 stocks. I run an Ordinary Least Square Regression on each pair and then I test for the existence of unit roots in the residuals. I am ...
2
votes
1answer
251 views
Neural network training on unlimited theoretical data
I'm considering using a neural network on financial time series but rather than train the network on actual data I am going to train on a model of the data which is perturbed by random noise. This ...
2
votes
2answers
125 views
Tools for testing the validity of stocks market indicators [closed]
I need references on tools for testing the validity of technical analysis indicators on stocks market.
The tools I want could be anything, the technical analysis indicators are a list of values built ...
1
vote
1answer
110 views
Sampling extremely large and diverse dataset?
General theories would be great. My specific problem is I'm trying to find a specific portfolio of all the stocks in the market. The possibilities are huge because I need the stock combination(itself ...
1
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0answers
113 views
What does “covariance risk budget” mean in fPortfolio package?
I have been using the fPortfolio package and have found some inconsistency in the usage of terminology in the package.
What does a "covariance risk budget" in the result returned by mean variance ...
3
votes
1answer
339 views
Several questions about statistical financial timeseries models from “machine-learning person”
In order to explain why I have those stupid question you'll find below I have to say that I am more a machine-learning person. While I worked on problems in bioinformatics everything was fine. When I ...
0
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3answers
305 views
Good reference on sample autocorrelation?
I'm not a statistician but I'm writing my thesis on mathematical finance and I think it would be neat to have a short section about independence of stock returns. I need to get better understanding ...
4
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2answers
146 views
How to determine if there is a drop in revenue after a change in the system?
We recently released a new redesigned e-commerce website for a client. They are claiming to be seeing a 40% drop in revenue due to the changes. We have daily sales data going back a few years. We ...
