Related papers: Assessing symmetry of financial returns series

We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical…

We perform a quantitative analysis of the gain/loss asymmetry for financial time series by using a Bayesian approach. In particular, we focus on some selected indices and analyze the statistical significance of the asymmetry amount through…

In this paper, we obtain a new characterization result for symmetric distributions based on the entropy measure. Using the characterization, we propose a nonparametric test to test the symmetry of a distribution. We also develop the…

Symmetry plays a central role in the sciences, machine learning, and statistics. While statistical tests for the presence of distributional invariance with respect to groups have a long history, tests for conditional symmetry in the form of…

Symmetry plays a central role in the sciences, machine learning, and statistics. For situations in which data are known to obey a symmetry, a multitude of methods that exploit symmetry have been developed. Statistical tests for the presence…

Given a random sample of observations, mixtures of normal densities are often used to estimate the unknown continuous distribution from which the data come. Here we propose the use of this semiparametric framework for testing symmetry about…

This paper introduces a novel two-sample test for a broad class of orthogonally equivalent positive definite symmetric matrix distributions. Our test is the first of its kind and we derive its asymptotic distribution. To estimate the test…

Testing for normality is a widely used procedure in statistics and data analysis, often applied prior to employing methods that rely on the assumption of normally distributed data. While several existing tests target distributional…

Markets efficiency implies that the stock returns are intrinsically unpredictable, a property that makes markets comparable to random number generators. We present a novel methodology to investigate ultra-high frequency financial data and…

It is hard to overstate the importance that the concept of symmetry has had in every field of physics, a fact alluded to by the Nobel Prize winner P.W. Anderson, who once wrote that physics is the study of symmetry. Whereas the idea of…

Various statistical tests have been developed for testing the equality of means in matched pairs with missing values. However, most existing methods are commonly based on certain distributional assumptions such as normality, 0-symmetry or…

Fern\'andez-Dur\'an (2004) developed a family of circular distributions based on nonnegative trigonometric sums (NNTS) which is flexible for modeling datasets exhibiting multimodality and asymmetry. Many datasets involving angles in the…

We introduce a general framework for testing temporal symmetries in time series based on the distribution of ordinal patterns. While previous approaches have focused on specific forms of asymmetry, such as time reversal, our method provides…

Financial stock return correlations have been analyzed through the lens of random matrix theory to differentiate the underlying signal from spurious correlations. The continuous spectrum of the eigenvalue distribution derived from the stock…

Wide class of elliptically contoured distributions is a popular model of stock returns distribution. However the important question of adequacy of the model is open. There are some results which reject and approve such model. Such results…

An explicit representation of an arbitrary zero-mean distribution as the mixture of (at-most-)two-point zero-mean distributions is given. Based in this representation, tests for (i) asymmetry patterns and (ii) for location without symmetry…

We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence structure and has considerable power in finite samples. We…

The McNemar test evaluates the hypothesis that two correlated proportion is common in $2 \times 2$ contingency tables with the same categories. This study discusses a test for symmetry in $2 \times 2$ contingency tables with nonignorable…

Financial crises are usually associated with increased cross-sectional dependence between asset returns, causing asymmetry between the lower and upper tail of return distribution. The detection of asymmetric dependence is now understood to…

In the classical two-sample problem, the conventional approach for testing distributions equality is based on the difference between the two marginal empirical distribution functions, whereas a test for independence is based on the contrast…