# finance

1. ### ARIMA model forecasting

I am having difficulty answering this question, would appreciate any help provided, thanks.
2. ### Financial Statistics

I am looking to create some useful statistics for the company I work for. I posted another question with a similar format for a specific regression analysis question, however, this question is different. I have a dataset that includes company name, company type, service provided, charge for the...
3. ### Financial Regressions

I hope you all had an amazing holiday weekend. Currently, I have a dataset that includes company name, company type, service provided, charge for the service, and this is all by month. For example, Company X, type of company is a bank, services provided are debt portfolio evaluations at \$100 and...
4. ### Dynamic Panel Data for Financial Markets

Dear all, I am trying to simultaneously estimate three equations using dynamic panel data. In each equation, the dependent variable (say, Y(3)) is a function of the two other dependent variables from that same period (say, X(3) and Z(3)), as well as the lagged values of the same dependent...
5. ### Need help with a theoretical question

Here is the question: How does the return distribution relate to the normal distribution if the return horizon becomes longer? :yup:

7. ### Need Help with developing general linear mixed model regression equation

general linear mixed model regression equation I'll be moving this to another thread and don't want to create multiple versions. Thanks!
8. ### Suitable Model

Hi all, I wonder if anyone could help me, i'm looking for an idea or two :) I work in the financial sector and we are looking into ways of predicting the behaviour of customers following changes to rates on some of our products. The current process involves looking at previous rate...
9. ### Comparing two samples of volatility data: Some complications

Hi guys, I'm having some problems establishing the best possible test for a comparison of two samples. Background: I'm investigating the volatility in returns of Exchange Traded Funds which trade non-synchronously with the market of the underlying basket. For example, an ETF for a...
10. ### Bayesian regression

it's a actually an informatics math related question. But i want to start here to get a first opinion. As a software engineer and cryptographer, I'm developing an application to predict to price of certain alt-coin. I have read a paper about the math behind the algorithm. I have a more then...
11. ### STATA - Finance - Portfolio Volatility

Hi all, I am experiencing difficulties to calculate portfolio volatility each period ("rebalance") given the following variables (enclosed). Correlation ("corr_Nt") across assets ("ticker") remains constant within a period. It is an equally weighted portfolio but weight changes each period (#...
12. ### STATA - Finance - Portfolio Volatility

Statistical package Please refer to the Statistical Package section for this post
13. ### Regression for Financial Applications

Hi! I'm looking to research the use of regression for financial applications. Say for example to determine the relation between economic indicators and returns for certain asset classes. So far I've tried using Excel and it's built in data analysis package to run regression R squared and...
14. ### How to use LASSO with common shocks (economic factors)

I am trying to use LASSO for variable selection, on a balanced panel. I have a total of 14 predictors, and would like to reduce this variable space. The panel is comprised of n dependent variables, each having t observations. I am planning to run LASSO on the cross-section for each time t...
15. ### Estimating returns per year by scaling them using the returns of an index

Dear geniuses, I'm doing research on some return series covering different periods. My data consists of transactions and I can thus calculate the returns on individual transaction pairs. As I want to compare the returns per period, but most transactions overlap periods I would like to...
16. ### Clusters building from series of financial data

Hi everyone, First of all I need to tell you that I don't know many things about statistics - I work in finance. Currently I need to "reverse-engineering" one of our projects. To put it clear, I have a series of data (26 members, products we sell, percentage) that represent the share in total...
17. ### Whats the best way to analyse the correlation between these two variables?

Hello All, I have to admit my statistics skills are not amazing however, i'm very interested in improving my knowledge. I've been trying to work out a way to see if there is a correlation between the number of troops in iraq and Afghanistan (BOG) and the price of an index that only deals in...
18. ### Back-testing Stock Selection - Data Analysis Help Needed

Hey everyone! I'm a finance grad and am doing my first big project back-testing some stock selection methods. I have spent the last few weeks writing a big vba program to run the back-test and I have the following: 10 dates (5 years semi-annual) and 40 companies where, for a given...
19. ### Venture Capital methodology

Hi, and apologies beforehand of what might become a wall of text. We are working on a project to define value drivers in VC-firms, where we might get access to cash flows from individual projects that a number of VC-firms have invested in. What we want to figure out is which activities...
20. ### Which analysis should I use? Ordered Probit?

I want to run a regression: (person's stock performance rating) = B(nonS&P/S&P500 portfolio concentration) + Ei ...where a person's stock performance is on a 1-10 point scale. I want to see what the probability a person's rating will be given the concentration of nonS&P to S&P stocks. I...