Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [statistics]

The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.

435 questions
19
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3 answers

How did James Simons clinch that security prices didn't look random?

Source: D. T. Max. Jim Simons, the Numbers King. December 18 & 25, 2017 Issue [...] In the late seventies, not long after he won the Veblen Prize, Simons founded a small investment firm in an office park near Stony Brook. At the time, he felt…
user31928
6
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3 answers

What advanced statistical techniques are quant researchers using?

Some time ago I was talking to a representative of one of the leading quantitative hedge funds. We talked about recruitment and the following had me stunned: The representative explained that they used to hire graduate statisticians and PhDs from…
Marvin
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2
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1 answer

What is the borne function mentioned in this paper?

On page 16, first paragraph of this paper, the authors introduce a function called "borne", which divides the normal distribution into n ranges of equal size, without citation. The definition is clear enough for implementation, but I couldn't find…
Joshua Snider
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1
vote
3 answers

Kolmogorov-Smirnov test

Is Kolmogorov-Smirnov test self-sufficient to prove normal distribution of a time series? And then test efficiency of a market?
user1673806
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1
vote
1 answer

Why combining market share behaviours brings a different conclusion

Please check the following dummy example to explain the paradox. Both areas in the company keep the same market share during the years, but at the end company lost share in the market! Math is 100% correct, both Areas worked well and reached their…
Gianluca G
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1
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1 answer

statsmodels's granger causality tests return value

I'm a developer (with no background in statistics) and I need to use granger causality test, i cant seem to understand the results from the python statsmodels package. Example result: Granger Causality ('number of lags (no zero)', 3) ssr based F…
eden96
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1
vote
2 answers

Spot price and volatility has a correlation of -1, why?

A stock option trader taught me yesterday that the correlation between the spot price of asset X and the variance of asset X is approximately -1. Can anyone give me a explanation why this is true?
user3884723
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0
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2 answers

Estimate weekly, yearly quantities from finite samples

I'd like to estimate from a daily prices serie $P_t$ with $N$ observations a quantity such as the variance of the weekly returns. I will use $\ln\left(\frac{P_{T+5}}{P_T}\right)$ assuming 5 days in a week for a weekly return. The good method (or so…
shnauz
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0
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3 answers

bayes theorem probability Jar

I am trying to come up with different theoretical answers below. I believe the standard one is based on Bayes theorem, but I am struggling to prove it. A jar has 1000 coins, of which 999 are fair and 1 is double headed. Pick a coin at random, and…
Kiann
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0
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1 answer

How to solve endogeneity between capital expenditure and Tobin's q without using instrumental variables?

Currently, I am analyzing capital expenditure of takeover-targets in the year prior to the takeover. The dependent variable is capital expenditure and one of the explanatory variables is Tobin's q. High value results in lower financing costs which…
Patrick
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0
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1 answer

GDP and Statistical Significance

Let’s say that we are defining a U.S. recession trend as 3 consecutive quarters of GDP decline. The GDP figures below would satisfy this definition. However, these figures are statistics taken from a population with zero sampling error. Q3, as it…
Harper
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0
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3 answers

Extreme value theory expected value of GPD

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 is quite larger (10%) than the average value of…
gregorp
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