# Questions tagged [finance]

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

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### Intuition behind unit roots in practice

One area where the application of unit roots to time series modelling seems very intuitive is in climate change: carbon dioxide stays in the air, so past shocks (size of flow) have a cumulative effect ...
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### Information coefficient as loss function of XGBoost

I am trying to train an XGBoost regressor for stock price prediction. I want to customize the objective function to be Information Coefficient (IC). The definition of IC is the Pearson correlation ...
23 views

### ML on Vienna Stock Exchange: Predicting hypes for the ATX index and conducting sentiment analysis on the top listed companies [duplicate]

Hello everyone and nice to meet you! :) I am new to this forum... I would like to practice on ML and create a model which predicts stock hypes for ATX index (Austrian Traded Index) and detects the top ...
1 vote
43 views

### Derivation of a dynamical Generalized Pareto distribution

I'm currently reading a paper for my master thesis on the tail index estimation for asset returns using the peak over threshold method. In this paper the authors introduce the cumulative distribution ...
17 views

### Regressing time series of continuous proportions Y(invested in different buckets) against X (prices) variables

I am not sure of what model need to be applied in my case. So my goal is to model the below data. I have the monthly deposits data from 2001 till 2024 for this analysis. Each customer can invest in ...
9 views

### Interpretation and Analysis of a Multivariate Threshold Autoregressive Model

I'm looking to study the asymmetric affect a market rate, like the Fed Funds rate has on an interest rate. In other words, I would like to study the response of interest rate adjustments in different ...
1 vote
38 views

### Autocorrelation and ARMA model

Consider the market model for security $i$ $$R_{i,t}=α_i+β_i R_{m,t}+e_i$$ I'm estimating the parameters of this model (alpha and beta) using OLS. However, the Breusch-Godfrey test indicates the ...
• 151
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### Backtransforming a probabilistic forecast?

Let's say that we have a probabilistic forecast for the future percentage return of an asset in the form of a probability density, $\hat{R}_{t+1}$. If our initial goal was to create a probabilistic ...
• 451
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### Infimum of a set - Value at Risk

I don't understand these semantics. Can somebody tell me with easy words and some other examples how to understand this last equation and why it equals 0? How to understand this colon after variable '...
23 views

### Deriving the multivariate asset returns model and interpreting cholesky factorization

I am trying to understand the multivariate asset returns model for a portfolio of assets from chapter 4 DCC-GARCH of Orskaug "Multivariate DCC-GARCH Model With Various Error Distributions" (...
11 views

### How to test Markovian property in a financial time series?

I want to build a Markov Chain model for a financial time series to determine transition probabilities from one state to another. The underlying assumption is that series obeys the Markovian property. ...
• 489
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### Stock clustering based on fundamental reporting

I want to made a stock clusterization, based on their fundamental features from companies quarter reports. I collected quarter reports from 2018 to 2022. Some companies have reports for all quarters ...
40 views

### Event studies: does test power depend on the window length?

I am reading Cambell, Lo & MacKinlay "The Econometrics of Financial Markets" (1996). Chapter 4 covers event studies. Section 4.6 provides power analysis of tests discussed in section 4.4....
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### Stationary Bootstrap Block Size Impact on Portfolio Simulation Results

I'm analyzing simulated portfolios generated using the stationary bootstrap method proposed by Politis et al. (1994). This method is expected to be robust to the choice of average block size, as it ...
19 views

I've been reading Forbes & Rigobon (2002) "No contagion, only interdependence" article, in which they suggest to adjust the correlation coefficients for heteroskedasticity. I can't ...
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### Panel vs Pooled OLS

My sample comprises of data on accounting performance of companies that had their IPOs between 2009-22. I want to examine if companies which had more foreign investor participation in their IPOs ...
24 views

### Determining values for Default Correlation between two companies

I'm a second year undergrad university statistics student working on a real life project for IDB, a bank in Latin America. However the project is really above my level, and I could do with some help. ...
185 views

### Are Purging and Embargo better than TimeSeriesSplit?

It is well known that the classical k-fold CV does not work well when it comes to time series data. I recently found two methods called Purging and Embargo, which aim to modify the k-fold CV, so that ...
• 77
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### Interpolation on bond issuance data

I am currently working on an analysis on bond issuance during the COVID pandemic. I will run a linear regression of spread on multiple bond issuance characteristics but also on multiple firm key-...
18 views

### What is this method name for comparing two financial time series by their difference (subtraction)?

I am trying to find a reference/name for what I am doing for explaining it in an academic work. My scenario is that: I have financial time-series A and B. I want to answer if A outperforms B or vice-...
1 vote
48 views

### Gridsearch on ARIMA favours random walk

I am working on a time-series forecasting problem with ARIMA. Since long-term predictions were not good, I've started using a "rolling ARIMA" like explained here ...
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1 vote
72 views

### What studied statistical model (if any) fits this application?

I'm having trouble identifying what statistical model or methodology is suited for my application. My situation is as follows: I want to create a stock trading agent that trades a single stock-cash ...
• 451
1 vote
45 views

### Success probability when we have expected return and volatility

I am reading Taleb "Fooled By Randomness", and the author says that a 15% return with 10% volatility translates to 93% success in a year and 50.02% success in any given second. Could someone ...
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