Questions tagged [sampling]
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24 questions
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The bid-ask spread before transactions
They are a lot of ways to compute an "estimated bid-ask spread". The most straightforward one is to sample the bid-ask on a regular time grid (for instance every second), but that for you ...
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Clustering of Maximum Drawdown Values in Monte Carlo Simulations (Jaekle & Tomasini example)
Hope this question isn't too naive. I've been trying to replicate the Monte Carlo method using sampling without replacement as described in the Jaekle & Tomasini book (Trading Systems: A New ...
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What are the advantages and disadvantages of converting standard deviation of higher-frequency returns to a lower sampling frequency?
I have a minute-by-minute price series of a stock. I would like to calculate the daily volatility or standard deviation of the stock's returns.
One way to do so is to get the end-of-day prices (i.e. ...
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Sampling dollar bars for a machine learning model
I'm trying to understand the rationale behind using information drive bars over traditional time bars and specifically when it comes to practically feeding those in to a machine learning model to run ...
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Distribution of Geometric Brownian Motion drawdowns from realizations of multivariate Normal and Laplace distributions
I am trying to simulate the distribution of Geometric Brownian Motion drawdowns from samples of multivariate Normal and Laplace distributions under the same covariance structure. Drawdowns are defined ...
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Tactical Investment Algorithms
I am reading paper "Tactical Investment Algorithms" (link) (NOTE: you can download the paper without registration, just press "Download" and then "Download without ...
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does oversampling affect the correlation?
I have a dataset of monthly data. One column is my target variable and all the other are my feature.
I have computed correlation between my target and all the other feature and then I made linear ...
- 326
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634
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Volume bars, dollar bars from low-frequency data?
Financial models by default use time bars of prices/returns for input data. I use time bars to refer to both intraday (high frequency) and interday (low frequency) data since the sampling occurs at ...
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Sampling and cross-validating with tick, volume and dollar bars
Financial data is usually structured with time bars. Other sampling techniques include:
tick bars
volume bars
dollar bars.
These are so-called sampling techniques to better identify signals and ...
- 3,140
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194
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Sampling from an empirical distribution
I want to sample from the empirical distribution of returns. To do so, I do not want to make the preliminary assumption of which distribution the returns follow, rather I would like to sample from the ...
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Stratified sampling in asian options
I am using the procedure of stratified sampling for variance reduction. In the Glasserman book the algorithm for stratified the terminal value of the Brownian motion is given for european options. For ...
- 1,008
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Compound 3-year returns to obtain 10-year returns: How to do?
I have 3-year returns at a monthly frequency, snippet below.
How to compound the 3-year returns to obtain 10-year returns (since the cumulative product of 3 3-year return would be the 9-year return).
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