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by deskquant
June 15th, 2013, 12:41 pm
Forum: Technical Forum
Topic: Continuation Futures prices
Replies: 0
Views: 7397

Continuation Futures prices

<t>Hi I did go through the previous posts on this topic but still confused. I am basically researching on some ideas and need continuous time futures data. At any point in time I basically have three futures, F1, F2 F3. They basically have monthly, 2 month and 3 month expiries. I have daily OHLC dat...
by deskquant
June 14th, 2013, 3:14 pm
Forum: Technical Forum
Topic: Johansen test dyamically carying coefficients
Replies: 0
Views: 7477

Johansen test dyamically carying coefficients

<t>I have two time series that I am investigating, acc and amb, the time frequency is daily data. They are both non stationary, as evidenced by the follows.adf.test(df$acc) Augmented Dickey-Fuller Testdata: df$accDickey-Fuller = -2.7741, Lag order = 5, p-value = 0.2519alternative hypothesis: station...
by deskquant
June 12th, 2013, 7:11 am
Forum: Trading Forum
Topic: Pairs trading in futures.
Replies: 7
Views: 9201

Pairs trading in futures.

<t>Thanks again for the note. About the model change, I have sets of overlapping insample training and out of sample trading periods. I have divided my data into many such periods. I refit or re train my model at the end of every out of sample period, hence the model changes? Is that not commonly do...
by deskquant
June 12th, 2013, 1:30 am
Forum: Trading Forum
Topic: Pairs trading in futures.
Replies: 7
Views: 9201

Pairs trading in futures.

<t>Thanks for the note. I already do that, I guess I wasn't clear. Basically here is what I have in my mind, and please let me know if I sound totally off.Say you have 1000 points of continuous data, Say my insample is from 1 to 200 points, and out sample is from 201 to 300 points and so on. Obvious...
by deskquant
June 11th, 2013, 8:44 am
Forum: Trading Forum
Topic: Pairs trading in futures.
Replies: 7
Views: 9201

Pairs trading in futures.

<t>Hi, this may be a classical or a rather simple problem. I am looking to build a pairs trade using futures contracts that have monthly expiries. An obvious question is how to deal with expiration aside from the fact that I need to roll any expiring positions.My question is basically around setting...
by deskquant
April 9th, 2013, 7:44 pm
Forum: Student Forum
Topic: Index arbitrage - Contrived example
Replies: 1
Views: 8054

Index arbitrage - Contrived example

<t>Imagine an economy in which we have stocks S1, S2, S3 and S4. These are common stocks and pay dividends etc. There is also a market cap weighted index I (weighted sum of S1 through S4 according to the market caps).The stocks and I also have futures F1, F2, F3, F4 and F that also trade in this mar...
by deskquant
April 9th, 2013, 3:41 pm
Forum: Trading Forum
Topic: Index arbitrage and other general questions
Replies: 0
Views: 8410

Index arbitrage and other general questions

<t>Imagine an economy in which we have stocks S1, S2, S3 and S4. These are common stocks and pay dividends etc. There is also a market cap weighted index I (weighted sum of S1 through S4).The stocks and I also have futures F1, F2, F3, F4 and F that also trade in this market.1) Claim 1 - The no arbit...
by deskquant
April 23rd, 2012, 12:47 am
Forum: Trading Forum
Topic: Portfolio market making.
Replies: 0
Views: 14132

Portfolio market making.

<t>Hi,Any academic research in this area, what is a good way to approach this problem. The problem being how do you design a risk model to make markets in say a bunch of correlated assets. In particular how do you take account the fact that the dollar notional exposure of risk changes in time as you...
by deskquant
November 20th, 2011, 1:15 pm
Forum: Technical Forum
Topic: Hypothesis testing and statistical significance of betas in multivariate linear regression.
Replies: 5
Views: 16574

Hypothesis testing and statistical significance of betas in multivariate linear regression.

<t>, trying Alan, but miles to go before I sleep! Statistics is fun but I never had a formal training, trying to self teach myself. I have always been a great fan of your insight and knowledge though and your willingness to always help. One of these days, I want to be able to work/collaborate with y...
by deskquant
November 19th, 2011, 2:25 pm
Forum: Technical Forum
Topic: Hypothesis testing and statistical significance of betas in multivariate linear regression.
Replies: 5
Views: 16574

Hypothesis testing and statistical significance of betas in multivariate linear regression.

<t>Hi, We know that in a simple multivariate linear regression scheme, the betas have a multivariate normal distribution, with mean equal to the population beta and a variance proportional to the inverse of the matrix XTX multiplied by the variance of the error term. My question is while testing the...
by deskquant
September 23rd, 2011, 1:07 am
Forum: Student Forum
Topic: linear regression
Replies: 1
Views: 16730

linear regression

<t>I have a question on testing the hypothesis that a particular regression coefficient in a simple OLS scheme with all the good assumptions is zero or not.In particular eq 3.12, in the book by Tibshirani and coll., Elements of Statistical Learning defines the z-score asz=β/σ?vjMy question is that g...
by deskquant
September 18th, 2011, 4:05 pm
Forum: Technical Forum
Topic: machine learning paper by german creamer.
Replies: 7
Views: 19144

machine learning paper by german creamer.

<r><URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=937847Looking"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 847Looking">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=937847Looking</LINK_TEXT></URL> at the sharpes, seems to good to be true. Not sure if anyone had ...
by deskquant
April 10th, 2011, 1:53 pm
Forum: Student Forum
Topic: Asymptotic distributions.
Replies: 2
Views: 19316

Asymptotic distributions.

Thanks Alan, will have a look.
by deskquant
April 9th, 2011, 8:56 pm
Forum: Student Forum
Topic: Asymptotic distributions.
Replies: 2
Views: 19316

Asymptotic distributions.

For a sample (x1,x2, ...xT) of T observations random variable X The sample kurtosis under the normality assumption is distributed asymptotically as a normal with mean 0 and variance 24/T. How can we prove this?Thanks much!
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