Related papers: Testing Sharpe ratio: luck or skill?
Backtests on historical data are the basis for practical evaluations of portfolio selection rules, but their reliability is often limited by reliance on a single sample path. This can lead to high estimation variance. Resampling techniques…
Spearman's rank correlation test is commonly used in astronomy to discern whether a set of two variables are correlated or not. Unlike most other quantities quoted in astronomical literature, the Spearman's rank correlation coefficient is…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
Three statistical studies, all published between 2004 and 2008 but without referring to one another, assert a useful equivalence involving the hazard ratio, a parameter estimated for time to event data by the frequently used proportional…
This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation…
The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a "pedagogical" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following…
The hazard ratio is one of the most commonly reported measures of treatment effect in randomised trials, yet the source of much misinterpretation. This point was made clear by (Hernan, 2010) in commentary, which emphasised that the hazard…
Portfolio diversification, traditionally measured through asset correlations and volatilitybased metrics, is fundamental to managing financial risk. However, existing diversification metrics often overlook non-numerical relationships…
We consider one of the most basic multiple testing problems that compares expectations of multivariate data among several groups. As a test statistic, a conventional (approximate) $t$-statistic is considered, and we determine its rejection…
Randomized benchmarking (RB) is a widely used method for estimating the average fidelity of gates implemented on a quantum computing device. The stochastic error of the average gate fidelity estimated by RB depends on the sampling strategy…
This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy…
Sequential estimators are proposed for the relative risk, odds ratio, log relative risk or log odds ratio of a dichotomous attribute in two populations. The estimators take the same number of observations from each population, and guarantee…
Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Portfolios constructed with stocks with minimal tail dependence…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
This paper empirically analyzes a dataset published by the European Banking Authority. Our main aim was to study how the Leverage Ratio is affected by adverse financial scenarios. This was be followed by observing how Leverage Ratio…
Traditional approaches to financial asset allocation start with returns forecasting followed by an optimization stage that decides the optimal asset weights. Any errors made during the forecasting step reduce the accuracy of the asset…
Stock portfolio optimization is the process of continuous reallocation of funds to a selection of stocks. This is a particularly well-suited problem for reinforcement learning, as daily rewards are compounding and objective functions may…
Accurate estimation of the tire slip ratio is critical for vehicle safety, as it is necessary for vehicle control purposes. In this paper, an intelligent tire system is presented to develop a novel slip ratio estimation model using machine…
We consider a reference security, understood to be an attractive investment, with the caveat that an investor is not willing to directly invest in the security, for presence of constraints, either investor specific or pertaining to the…
In this paper, we focus on examination results when examinees selectively skip examinations, to compare the difficulty levels of these examinations. We call the resultant data 'selectively omitted examination data' Examples of this type of…