The science that describes the management, creation and study of money, banking, credit, investments, assets and liabilities.

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14 views

How to separate two classes when the features values predicting them are so similar ?

What should be my approach. I got 13 principal components from 21 numerical features. The 13 features have a gaussian distribution. The plot below is between the top two components. Should I clean the ...
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0answers
13 views

How to measure practically the performance of Venture Capital backed tech firms following an IPO? [closed]

I am currently writing a thesis about whether the fact that a tech firm backed by venture capital companies achieves higher returns following an IPO (Horizon of 3 years). I have about 800 tech stocks ...
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0answers
23 views

Value at Risk estimation: Hybrid Approach with Bootstrapping

I have a monthly dataset that presents the "Net result" i.e. "Actual result - budgeted result". The data is not normally distributed. I have been tasked with calculating the value at risk (VaR) at 99%...
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1answer
20 views

Run-like pattern in candle chart

To my untrained eye a pattern appears in this candle chart, where down-days (dark purple) tend to occur consecutively. I have a very basic understanding of statistics and R software, but it's been a ...
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1answer
46 views

Interpreting regression Output for CAPM

I have an interpretation problem. As you can see below there's a linear regression output for the CAPM. I don't know how to interpret the significance level. ExIndex has a very low p-value, but the ...
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1answer
107 views

Why is my kalman filter trusting so much my observations?

This question follows the one asked there. I am trying to filter an equity index (Stoxx 600) time series using kalman filter. I'm using the R package dlm and my code is inspired from the dlm ...
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24 views

Example usage (in Python) of Kalman Filter as it pertains to BASKET trading

I've found plenty of examples in Python of the Kalman Filter as it pertains to PAIRS trading, but what I'm really interested in are examples of how it can be applied to BASKET trading. Without a doubt,...
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22 views

What is the correct measure of similarity for two supposedly identical time series?

I have two time series of prices (actually, bid quotes) from different sources, and I want to know how similar they are. I've calculated simple Pearson product-moment correlation between the prices, ...
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1answer
56 views

Low performance of SVM (and neural network) in out-of-sample data with high test accuracy of 10-fold cross validation in a financial time series

I'm using SVM and (neural network) for a time series prediction data-set in MATLAB R2016a with 800 samples. Currently I'm using 10-fold cross validation and grid search to find best SVM parameters. I'...
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1answer
34 views

Why model data using parametric distributions instead of empirical?

I've been wondering why the use of empirical distributions in research is not as prevalent as I think it should be given my understanding (likely misinformed) that an empirical distribution would give ...
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12 views

GARCH model is better for index than stock

We have used a standard GARCH(1,1) model with t distributed innovations for daily data of S&P index and JPM stock. Question: is there any financial or statistical reason why the GARCH model ...
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3answers
75 views

regression coefficient expected to be negative but it is always positive

In my research project I have to do a regression of the financial risk on the business risk of the year before. As a reference, I have a paper showing the results for several countries. The paper ...
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0answers
18 views

How to fit an appropriate SDE [closed]

Does any one know how we can fit an appropriate SDE to a time series data? how to understand which model will describe the model well? and then how to estimate its parameters? To be more specified, I ...
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1answer
33 views

Support vector regression (LIBSVM) returns out of range outputs when I use out-of-sample data to predict one step ahead (MATLAB)?

I'm using SVR model in MATLAB R2016a using this option: options_z = ['-q -s 3 -t 2 -c ', C_param, ' -p ', epsilon, ' -g ,Kernel_scale]; I'm optimizing SVR ...
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0answers
35 views

Volatility of investment (/w currency hedging)

I´ve been trying to compute volatility of investment with currency hedging, and I have a question. Let's take this example. We have our money in a fond copying the S&P500 index, which has 16% ...
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7 views

using lmer to attain the t statistics for the difference in alpha in two regressions

So I have 10 bond return time-series dataset (portfolio1 to portfolio10). Portfolio1 is the ...
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0answers
81 views

R - suggested precedures in caret to fit stable precise binary classifiers to financial data

Building a binary precise classifier to forecast financial outcomes (stock rise vs. fall) brings up some nifty complications within caret. 1. classifier selection: there are tons of classifiers ...
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10 views

Can we use negative values as inputs or outputs in data envelopment analysis(DEA) in a financial case?

I'm comparing some financial companies using data envelopment analysis(DEA) using their financial statements. Suppose that one of the outputs is income or profit. In some companies we have negative ...
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1answer
22 views

Test for significance of peaks (maximum) in time series

I have a time series of values, something like this: ...
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0answers
32 views

Effect of Federal Funds Rate on SP500

I have been trying to examine the effect of the Federal Funds Rate on the S&P 500 using regression analysis. Obviously via the graph its easy to see this is a hard relationship to define over a ...
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0answers
17 views

Low adj. R squared Linear Regression in Financial Data - Misspecification?

Im doing a Multiple Linear Regression on Cumulated Abnormal Average Returns. In particular I measure stock effect changes on entrys in airline alliances. I measure the effect on the already existing ...
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0answers
38 views

Historical Data Nightmare [closed]

I've been trying to make sense of the historical data downloaded from Yahoo Finance. One time series is especially puzzling, that of Valeo SA (ticket: FR.PA). The picture is pretty self-explanatory ...
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0answers
35 views

PDF of sums, products of iid Normals

I've recently taken to looking at the distribution of a financial time series of the form $$X_t = X_{t-1}(1+W_t)$$ where $W_t$ is iid $N(0,\sigma^2)$. Expanding the equation out we get $$X_t = X_0\...
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0answers
13 views

How to calculate returns when number of securities in a time-series varies over time?

I have a timeseries of security returns in which the number of securities in the timeseries varies over time. More specifically, I have a universe of events where securities(their returns) are added ...
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0answers
44 views

How to construct non overlapping data from futures and futures spot prices?

Could not really find anything across the board, so my question is - How exactly should I construct non overlapping data from two time series futures (with 3 months delivery) prices and cash prices?
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23 views

Vector Autoregression for modelling log-returns?

I am wondering if Vector Autoregression (and other autoregressive models) is a sound modelling for the daily (not high-frequency!) log-returns of time series from liquid financial markets. One can ...
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1answer
27 views

Data trending decision criteria

I'm playing a game in which you can buy and sell items (it's an mmorpg). Now, after certain events, there is a huge drop in the price of certain items (there is a seasonal double experience weekend in ...
3
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1answer
93 views

How to identify studies that should be replicated?

In psychology voting on which studies should be replicated is established on a website. The ReplicationWiki (that I founded) offers a voting option for studies in economics and related fields, but it ...
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1answer
18 views

How to properly calculate average need-based aid met by an institution?

As an institution we give out a certain amount of financial aid every year (need-based aid) to each student. This need-based aid does not always meet the students estimated need. My task is to compare ...
3
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2answers
57 views

Interpretation of standard deviation if data is not normally distributed

This is very basic question. But I want to know how one can interpret the standard deviation if data is not normally distributed. My concern is regarding financial market. Investors generally use ...
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0answers
15 views

2 State Endogeneity Procedure: Same variables in both stages

I came across an interesting endogeneity procedure in a recent Journal of Finance paper (Cai, Garner, and Walkling, 2009), but I can't quite grasp the logic behind it. In the first stage (p. 2401 in ...
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0answers
20 views

Real-time accounting input valdiation

I'm currently fishing in troubled waters, as I've got a huge scope. I'm sorry in case this question had been asked already in before, however I couldn't find even a topic to look for with my small ...
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1answer
52 views

Running regressions where coefficients change over time

I'm trying to predict monthly stock price returns using 93 features that I think may be relevant. I have data for these features from 1990 to 2015. For each month from 1990 to 2015 I run a ...
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43 views

Propensity score - how to deal with panel data?

I am researching mergers and acquisitions. The overlying question is the following: Do companies acquiring targets in a merger wave (i.e. a period of time where abnormally many acqusitions take place) ...
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1answer
100 views

Easy explanation of how to fit a multivariate GARCH model (in Gretl)

I have multiple financial time series data (FX-rates, commodity prices) that have been recorded daily (without weekends) for the past six years and want to analyze their effect/influence on the stock ...
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1answer
35 views

How can I slowly decay a percentage over time (not linearly)?

I'm not a statistician, but I am incredibly interested in personal finance, budgeting, and investment management. I've been building a large spreadsheet of my personal expenses, savings, and ...
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0answers
23 views

mean absolute deviation implies covariance matrix not needed?

I have a model for something for which the objective function has a measure of risk by using mean absolute deviation. Why would this imply that a covariance matrix would no longer be needed? (To add ...
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0answers
16 views

Can a Percentage Change series be an independent variable in a regression?

i.e. Quarterly GDP growth from 2000-2010 used to explain a company's revenue trends for same period. Or do I have to use the actual $ value of the GDP?
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36 views

How to test two indices equivalent?

Suppose I have two index time series, which are supposed to reflect the same information for a market, like SP500 and Dow Jones. Besides R2 from a simple linear regression, KS test, correlation ...
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0answers
31 views

Check significance of Patell t-test

Friends! I am trying to do an event study using R. Other than using normal t-test, I am also trying Patell t-test (1976) and BMP t-test. (as discussed on page 26 of this paper http://www.uva.fi/fi/...
2
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1answer
179 views

Have MLE estimators for Generalized Pareto Distribution. Given a known value of $c$, how do I calculate $a$ and $b$ using the provided estimators?

I am doing research into the three parameter Generalized Pareto Distribution $$ f(x|a,b,c) = \frac 1 b\left(1+a\left(\frac{x-c}{b}\right)\right)^{\big(-1-\frac 1 a\big)} $$ for finding VaR and CVaR. ...
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0answers
25 views

Monte Carlo VaR assuming logistic distribution

I have a Monte Carlo model which measures the Value at Risk (VaR) for given portfolio. I use the geometric brownian motion to model the prices. But let's say I assumed the returns of prices follow the ...
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0answers
6 views

Forecasting in a panel: full sample with zeros or unbalanced sample?

I am struggling with an econometric question.  Suppose I use google searches at time t about stock i (lets call it Xit) to forecast financial returns on stock s at time t+1.  So the basic model runs:...
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0answers
16 views

A test for comparing if two vectors are keeping the relative order between elements [duplicate]

I would like to perform a test in R to compare two vectors: the test should check if the two vectors are keeping the relative order between elements. for example if the first vector is x=(2,4) and ...
0
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0answers
27 views

What are data envelopment analysis(DEA) alternatives to calculate efficiency?

We can calculate efficiency using parametric (econometric models) and non-parametric models. one of the well-known non-parametric models to calculate efficiency (for example banking efficiency in a ...
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0answers
22 views

Assessing the impact of the European sovereign debt crisis on the EURUSD

As the title suggests, I am trying to estimate the impact of developments in the European sovereign debt crisis on the EURUSD (the spot price of exchanging X dollars into 1 Euro). I am a little rusty ...
2
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2answers
101 views

What is a good way to model this set of time-series data? What might the distribution be? (Personal expenses)

I'm trying to make some sense out of this data, but have been having some trouble. The data is of personal expenses made during the last 90 days. How would one go about the modeling this type of data? ...
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0answers
36 views

FORECASTING AR(1) Autoregressive Form

Ive been implementing a little exercise to obtain the first 2 forecasting points of an AR(1) process. And i want to have the forecasting ponts using the three forms: Im folowing this pdf http://www.le....
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40 views

How to equal weight and value weight a portfolio of mutual fund returns?

I have the historical monthly returns of around 3000 mutual funds. How would I equal weight them? And does 'value weighting' them include multiplying each set of fund returns by a factor ...
2
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1answer
626 views

Difference between Time delayed neural networks and Recurrent neural networks

I would like to use a Neural Network to predict financial time series. I come from an IT background and have some knowledge of Neural Networks and I have been reading about these: TDNN RNN I have ...