Questions tagged [sampling]
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24 questions
1 vote
1 answer
406 views
The bid-ask spread before transactions
They are a lot of ways to compute an "estimated bid-ask spread". The most straightforward one is to sample the bid-ask on a regular time grid (for instance every second), but that for you ...
- 141
2 votes
1 answer
187 views
Sampling dollar bars for ML model of multiple tickers
I have a Neural Network model that provides predictions for the future returns of a portfolio comprising stocks and cryptocurrencies. The original model operates on standard time bars and generates ...
- 243
0 votes
1 answer
180 views
Clustering of Maximum Drawdown Values in Monte Carlo Simulations (Jaekle & Tomasini example)
Hope this question isn't too naive. I've been trying to replicate the Monte Carlo method using sampling without replacement as described in the Jaekle & Tomasini book (Trading Systems: A New ...
- 1
1 vote
1 answer
239 views
Single outsized daily return value creates substantive discrepancy between annualized variance calculated from daily vs monthly returns
I am new here, and to the field. I hope my clunkiness in expressing myself can be forgiven. My situation is as follows: I have around three years of daily return data for some financial asset. Out of ...
- 113
0 votes
0 answers
325 views
What are the advantages and disadvantages of converting standard deviation of higher-frequency returns to a lower sampling frequency?
I have a minute-by-minute price series of a stock. I would like to calculate the daily volatility or standard deviation of the stock's returns. One way to do so is to get the end-of-day prices (i.e. ...
- 403
0 votes
1 answer
116 views
Estimate market positioning from flow data
I have a set of time series data from a bank that is transaction data from all its clients on a particular currency. From that data, I attempt to estimate the current "position" of all ...
0 votes
1 answer
644 views
Sampling dollar bars for a machine learning model
I'm trying to understand the rationale behind using information drive bars over traditional time bars and specifically when it comes to practically feeding those in to a machine learning model to run ...
- 165
0 votes
1 answer
328 views
Markov Chain Monte Carlo Sampling
I have just been having a read about mcmc for path dependent options. I am still trying to understand the logic of it, I don’t have the technical background to understand all the formulae etc. behind ...
0 votes
1 answer
412 views
Distribution of Geometric Brownian Motion drawdowns from realizations of multivariate Normal and Laplace distributions
I am trying to simulate the distribution of Geometric Brownian Motion drawdowns from samples of multivariate Normal and Laplace distributions under the same covariance structure. Drawdowns are defined ...
- 13
2 votes
0 answers
544 views
Implied Gamma VS Implied Volatility
Reading this paper, I'm struggling to understand what the author is saying with paragraphs below (see pages 39-42): We define Implied Gamma ($\Gamma_{\operatorname{implied}}$) as the value of the ...
- 21
0 votes
1 answer
396 views
Tactical Investment Algorithms
I am reading paper "Tactical Investment Algorithms" (link) (NOTE: you can download the paper without registration, just press "Download" and then "Download without ...
- 126
0 votes
1 answer
201 views
How to up-sample monthly returns into daily returns?
I know how to down-sample daily returns (large-sample data) to monthly returns (small-sample data) by using rolling windows, which feels like estimating a sub-sample from the population (something ...
- 3,140
1 vote
1 answer
298 views
does oversampling affect the correlation?
I have a dataset of monthly data. One column is my target variable and all the other are my feature. I have computed correlation between my target and all the other feature and then I made linear ...
- 326
1 vote
0 answers
275 views
Literature on realized volatility and sampling frequency?
I was looking for some papers that explicitly show how realized volatility changes as we change the sampling frequency. For example, comparing the annualized volatility estimated from daily data is ...
- 1,930
1 vote
1 answer
634 views
Volume bars, dollar bars from low-frequency data?
Financial models by default use time bars of prices/returns for input data. I use time bars to refer to both intraday (high frequency) and interday (low frequency) data since the sampling occurs at ...
- 3,140