# Questions tagged [finance]

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

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### Cumulative Abnormal Returns (CARs) vs ARIMAX

What is the difference in using an ARIMA model with covariates ($X_i$) to estimate the shock of $X$ on time series $Y$ and using a Cumulative Abnormal Returns (CAR)? I have limited knowledge about ...
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### Understanding a paper combining cross section with time series in finance

I am reading a paper to do with reversal signals in finance. (Apologies I am not allowed to share the actual paper.) In the paper it says it does monthly cross sectional regressions and collects the ...
484 views

### ARIMA-GARCH instead of ARIMA for intervention analysis

I'm looking to carry out an intervention time series analysis on the S&P500 to see how presidential elections affected the stock market. I want to use an ARMA-GARCH process to model S&P500 ...
141 views

### Negative probabilities - what are the two ordinary pgfs that correspond to the gf of a half-coin?

In Half of a Coin: Negative Probabilities, author considers pgf of a fair coin represented by random variable, $X = 1_H$: G_X(z) = E[z^X] = \sum_{x=0,1} z^xP(X=x) = (z^0)(1/2) + (z^1)(1/2) = \frac{...
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### Extreme value theory: GPD larger expected value than average

We're using extreme value theory to model tail risks on our portfolio. After we choose the threshold, we fit generalized Pareto distribution to our data over the threshold. The expected value of GPD ...
51 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 ...
468 views

### How to calculate the expected loss of a credit card transaction?

I have used an algorithm to calculate the probability of a credit card transaction to be fraudulent. The algorithm outputs a classification (fraud/no fraud) and the probability of each, such that \$P(\...
26 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 ...
2k 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 ...