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.
451 questions
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28 views
Understand fit results from a t distribution
I'm trying to understand the results of fitting a t distribution to a sample of data. For some reason the obtained parameters are decimal. Could somebody explain me what does decimal degrees of ...
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74 views
Ledoit - Wolf Shrinkage: reproducing the paper results
I've been trying to replicate the results of the paper A Well-Conditioned Estimator For Large-Dimensional Covariance Matrices by Ledoit and Wolf (2004). In particular, I'm having difficulties with the ...
-4 votes
1 answer
89 views
Why does Free Cash Flow Not Add Up?
This is the cash flow statement of a Japanese company, Toyota. I don't understand how the free cash flow value is calculated. It doesn't really add up with anything else. I already tried doing things ...
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64 views
Advice on pattern mining python script
I'm looking for advice on the approach of this type of scan/search. I've built a number of code blocks that look at relatively simple aspects like price changes over time, volatility, volume, various ...
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1 vote
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200 views
Why is it called "Mathematical Finance", not "Statistical Finance"?
About the idea of "Quantitative Finance" in general: Everywhere I look on the Internet, people seem to be saying that Statistics is more relevant to Quant Finance than Mathematics. The ...
- 111
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57 views
Handling negative/near-zero EPS in financial time series analysis - ratio metrics vs raw data approach?
I'm working with financial time series data on a large global universe of companies. Specifically using fundamentals from FactSet right now, and my question concerns earnings per share (EPS), and I'm ...
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1 vote
1 answer
152 views
What is a robust estimator of stock return mean?
I recently started a mathematical statistics course and learned that the sample mean assumes the set of samples $ X_1, X_2, \dots, X_n $ to be i.i.d. With stock returns, this is clearly not the case, ...
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1 answer
211 views
Size of blocks in Block Bootstrapping of returns
I am working on long term portfolio allocations. With larger investment horizon like 5-10 years, 20 years of data that I have is not enough. So I decided to do some bootstrapping to generate some ...
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40 views
TSI Span/Center Of Mass
When applying a double exponential moving average, such as in a TSI (True Strength Indicator), what is the resulting span/center of mass of the resulting indicator? Given the center of mass of the ...
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1 answer
264 views
Lead/Lag statistical test in Python
I have two series of data, one showing positioning data and one showing price data. Generically the format is similar to the below: Price: Date EUR JPY NOK SEK Date price price price price Date price ...
- 135
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77 views
Computing Daily MTM from a Trade log of a Positional Strategy
I've generated the trade log shown below based on a positional strategy. There may be multiple or no trades on any given day. The log includes entry/exit times and prices, and I also have access to ...
- 107
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71 views
meaning of t-statistic of annualised portfolio returns
When a paper reports that a portfolio has an annualised return of 20% (t=6.5) what is the t-statistic related to? I guess it is a simple regression (in which case f-statistic and t-statistic are the ...
- 472
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1 answer
208 views
Degrees of freedom in moving average crossover strategies with varying parameters
How might variables, such as using high price vs low price or Simple moving average (SMA) vs exponential moving average (EMA), influence a determination of degrees of freedom or data points that are ...
- 143
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166 views
Quantification of Complexity in Trading Systems
I am trying to define and quantify the complexity of a trading system, where complexity is measured by degrees of freedom as the sum of its rules and unique data points. where: ...
- 143
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1 answer
152 views
Relationship between Beta distribution and its inverse
I am attempting to transform a real world density into risk-neutral density via calibration through the beta distribution. Calibration in this context is transforming the rw density into the rn ...
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