finance

Hi everyone, My objective is to test whether the performance between 6 portflios significantly differ. In short, I have multiple independent variables (4) that benchmark returns of different market portfolios (Carhart 4-factor), where the dependent variables are the returns of the portfolio...

Hi! I could not find direct answers to my questions, so I figured to ask here. Background: My goal is to assess the consistency of returns of some mutual funds, and one of the methods I opted to use is the SRCC. So what I do is: 1) I have a period of 10 years, which I divide into two parts...

Hi everyone, i am doing my dissertation and using Buy and Hold Abnormal Return to evaluate IPOs performance. The formula is BHARi,h = ∏t=1h(1+Ri,t)−∏t=1h(1+Rm,t) Here is a set of data, how can I calculate the correct BHAR in (1+Ri,t)? month share price 0 21.5 1...

Hi Im kinda new to statistics and would very much appreciate some help. I have finally understood the standard deviation formula and the reason behind every step/calculation. But..lets talk about stock market. a) why does the stock market write s.dev in percentage? I had the impression that...

I am having difficulty answering this question, would appreciate any help provided, thanks.

I am looking to create some useful statistics for the company I work for. I posted another question with a similar format for a specific regression analysis question, however, this question is different. I have a dataset that includes company name, company type, service provided, charge for the...

I hope you all had an amazing holiday weekend. Currently, I have a dataset that includes company name, company type, service provided, charge for the service, and this is all by month. For example, Company X, type of company is a bank, services provided are debt portfolio evaluations at $100 and...

Dear all, I am trying to simultaneously estimate three equations using dynamic panel data. In each equation, the dependent variable (say, Y(3)) is a function of the two other dependent variables from that same period (say, X(3) and Z(3)), as well as the lagged values of the same dependent...

Here is the question: How does the return distribution relate to the normal distribution if the return horizon becomes longer? :yup:

Please share with me! Thank you in advance!:)

general linear mixed model regression equation I'll be moving this to another thread and don't want to create multiple versions. Thanks!

Hi all, I wonder if anyone could help me, i'm looking for an idea or two :) I work in the financial sector and we are looking into ways of predicting the behaviour of customers following changes to rates on some of our products. The current process involves looking at previous rate...

Hi guys, I'm having some problems establishing the best possible test for a comparison of two samples. Background: I'm investigating the volatility in returns of Exchange Traded Funds which trade non-synchronously with the market of the underlying basket. For example, an ETF for a...

it's a actually an informatics math related question. But i want to start here to get a first opinion. As a software engineer and cryptographer, I'm developing an application to predict to price of certain alt-coin. I have read a paper about the math behind the algorithm. I have a more then...

Hi all, I am experiencing difficulties to calculate portfolio volatility each period ("rebalance") given the following variables (enclosed). Correlation ("corr_Nt") across assets ("ticker") remains constant within a period. It is an equally weighted portfolio but weight changes each period (#...

Statistical package Please refer to the Statistical Package section for this post

Hi! I'm looking to research the use of regression for financial applications. Say for example to determine the relation between economic indicators and returns for certain asset classes. So far I've tried using Excel and it's built in data analysis package to run regression R squared and...

I am trying to use LASSO for variable selection, on a balanced panel. I have a total of 14 predictors, and would like to reduce this variable space. The panel is comprised of n dependent variables, each having t observations. I am planning to run LASSO on the cross-section for each time t...

Dear geniuses, I'm doing research on some return series covering different periods. My data consists of transactions and I can thus calculate the returns on individual transaction pairs. As I want to compare the returns per period, but most transactions overlap periods I would like to...

Hi everyone, First of all I need to tell you that I don't know many things about statistics - I work in finance. Currently I need to "reverse-engineering" one of our projects. To put it clear, I have a series of data (26 members, products we sell, percentage) that represent the share in total...