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Questions tagged [finance]

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

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4
votes
1answer
165 views

Analysis strategy using market indicators and trading systems

I have a number of trading strategies, and trading systems which are subsets of the strategies (many systems in one strategy). I also have a number of market indicators created by a portfolio manager ...
5
votes
4answers
577 views

Simple distance measure for financial time series

I have a large quantity of financial trading systems that I believe are highly duplicative, meaning that I believe a large number of the trading systems are essentially the same thing. I am looking ...
5
votes
1answer
729 views

How to test unit root in a timeseries with unknown structural change?

Is there a unit root test that works with structural change? I only found Zivot-Andrew test but I would try another test, I do not know if the timeseries has a structural change, so I need a test that ...
5
votes
4answers
29k views

How to calculate stock volatility in %?

How can I calculate the stock volatility in percentage? Do i have to use sd() function without any other calculation ? Thanks
8
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2answers
1k views

k-fold CV of forecasting financial time series — is performance on last fold more relevant?

I am working on an ANN-based forecasting model for a financial time series. I'm using 5-fold cross-validation and the average performance is so so. Performance on the last fold (the iteration where ...
6
votes
2answers
5k views

What methods to use for statistical prediction/forecast of trading data?

I’m working on a trading system and need to apply some statistics on the results. Unfortunately I forgot all about statistics after I left university over a decade ago and now I really have no clue ...
2
votes
1answer
3k views

Where to find credit risk data set? [closed]

I am starting my thesis in Credit Risk Modelling very soon, but I realise it's really hard to get some real data. Does anyone know is this kind of data publicly available or I need to purchase it from ...
4
votes
1answer
229 views

Sampler method to choose in Monte Carlo Markov chain estimation

When estimating the posterior via MCMC, are there guidelines on the best sampling method to use depending on the nature of the model? There are a variety of forms of MCMC - the Gibbs sampler, the ...
5
votes
1answer
2k views

How to model time-varying correlation

Suppose I have two time-series variables, $\{x_t\}$ and $\{y_t\}$, where $t\in[1,T]$. I would like to model the correlation $\rho(x_t,y_s)$ as some function of $t$,$s$, and the difference $t-s$. In ...
2
votes
0answers
356 views

Approximate vs. Strict Factor model specification in R [closed]

Background: Generally, pooled time-series cross-sectional regressions utilize a strict factor model (i.e. require the covariance of residuals is zero). However, in time series such as security returns ...
7
votes
2answers
3k views

Is there an R optimization package that can handle integer constraints and non-linear objective functions?

I am looking for an optimization routine that can optimize a non-linear objective function with integer constraints. NuOPT for S-Plus, CPLEX, or Matlab include powerful optimization packages for these ...
6
votes
5answers
3k views

High frequency data series cleaning in R

I am looking at timeseries data in foreign exchange and bond markets (to test for reversion on extreme moves). Unfortunate "tick" data, namely high frequency data, is prone to many problems, and they ...
16
votes
1answer
4k views

Usage of HMM in quantitative finance. Examples of HMM that works to detect trend / turning points?

I am discovering the marvellous world of such called "Hidden Markov Models", also called "regime switching models". I would like to adapt a HMM in R to detect trends and turning points. I would like ...
9
votes
7answers
21k views

Correlation between two variables of unequal size

In a problem I am working on, I have two random variables, X and Y. I need to figure out how closely correlated the two of them are, but they are of different dimensions. The rank of the row space of ...
10
votes
1answer
2k views

Why Use the Cornish-Fisher Expansion Instead of Sample Quantile?

The Cornish-Fisher Expansion provides a way to estimate the quantiles of a distribution based on moments. (In this sense, I see it as a complement to the Edgeworth Expansion, which gives an estimate ...
9
votes
2answers
894 views

Computing the cumulative distribution of max drawdown of random walk with drift

I am interested in the distribution of the maximum drawdown of a random walk: Let $X_0 = 0, X_{i+1} = X_i + Y_{i+1}$ where $Y_i \sim \mathcal{N}(\mu,1)$. The maximum drawdown after $n$ periods is $\...
8
votes
4answers
311 views

Understanding productivity or expenses over time without falling victim to stochastic interruptions

Help me here, please. Perhaps before even giving me an answer you may need to help me ask the question. I have never learned about time series analysis and do not know if that is indeed what I need. I ...
6
votes
2answers
344 views

How to compute the standard error of an L-estimator?

I am trying to compute the standard error of the sample spectral risk measure, which is used as a metric for portfolio risk. Briefly, a sample spectral risk measure is defined as $q = \sum_i w_i x_{(...
5
votes
1answer
2k views

Tangency portfolio in R

I am trying to solve for an efficient portfolio in R. How do I translate my constraints for a tangency point for 2 risky asset portfolio, and a given risk free rate to R solve.QP function? So ...
3
votes
1answer
483 views

Comparing 2 independent non-central t statistics

One estimate of the 'quality' of a portfolio of stocks is the Sharpe ratio, which is defined as the mean of the returns divided by the standard deviation of the returns (modulo adjustments for risk ...
17
votes
4answers
7k views

Robust t-test for mean

I am trying to test the null $E[X] = 0$, against the local alternative $E[X] > 0$, for a random variable $X$, subject to mild to medium skew and kurtosis of the random variable. Following ...
8
votes
2answers
1k views

Automating statistical correlation between “texts” and “data”

I am collecting textual data surrounding press releases, blog posts, reviews, etc of certain companies' products and performance. Specifically, I am looking to see if there are correlations between ...
8
votes
9answers
4k views

Resources for learning about the Statistical Analysis of Financial Data

I realize that the statistical analysis of financial data is a huge topic, but that is exactly why it is necessary for me to ask my question as I try to break into the world of financial analysis. As ...
7
votes
2answers
710 views

How Large a Difference Can Be Expected Between Standard GARCH and Asymmetric GARCH Volatility Forecasts?

I have been using various GARCH-based models to forecast volatility for various North American equities using historical daily data as inputs. Asymmetric GARCH models are often cited as a ...
9
votes
9answers
4k views

Tools for modeling financial time series

What modern tools (Windows-based) do you suggest for modeling financial time series?