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problemusing the bars from exercise 4a sample bars using the cusum filter where yt are absolute returns and h 005b
problemform e-mini sampp 500 futures dollar barsa compute bollinger bands of width 5 around a rolling moving average
problemon a series of e-mini sampp 500 futures tick dataa form tick volume and dollar bars use the etf trick to deal
problemsuppose that you develop a momentum strategy on a futures contract where the forecast is based on an ar1 process
problemsuppose you try one thousand configurations of the same investment strategy and perform a cv on each of them
problem1 why is shuffling a dataset before conducting k-fold cv generally a bad idea in finance what is the purpose of
problem1 on a dollar bar series on e-mini sampp 500 futuresa apply the brown-durbin-evans method does it recognize the
problemfollowing up on the strategy from exercise 1a what is the sensitivity of sr to a 1 change in each parameterb
problema portfolio manager intends to launch a strategy that targets an annualized sr of 2 bets have a precision rate
problem1 build an ensemble of estimators where the base estimator is a decision treea how is this ensemble different
problem1 why is bagging based on random sampling with replacement would bagging still reduce a forecasts variance if
problem1 what would be the psr from 2b if the backtest had been for a length of 3 years2 a 5-year backtest has an
problem1 the wall street journal has reported that september is the only month of the year that has negative average
problem1 an analyst fits an rf classifier where some of the features include seasonally adjusted employment data he
problemgenerate a time series that follows a sinusoidal function this is a stationary series with memorya compute the
problemgenerate a time series from an iid gaussian random process this is a memoryless stationary seriesa compute the
problem1 fit the time series of dollar bars of e-mini sampp 500 futures to an o-u process given those parametersa
problemsuppose you are an execution trader a client calls you with an order to cover a short position she entered at a
problemform dollar bars on e-mini sampp 500 futuresa quantize the returns series using the binary methodb quantize the
problem1 compute a time series of daily quote cancellations rates and the portion of market orders on the e-mini sampp
problem1 form a time series of volume bars on e-mini sampp 500 futuresa compute the series of vpin on may 6 2010 flash
problem1 apply the corwin-schultz estimator to a daily series of e-mini sampp 500 futuresa what is the expected bid-ask
problemfrom a time series of e-mini sampp 500 futures tick dataa apply the tick rule to derive the series of trade
problem1 you read a journal article that describes an investment strategy in a backtest it achieves an annualized
problem1 what is the key difference between econometric methods and ml how would economics and finance benefit from