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21 Cards in this Set

  • Front
  • Back

soft dollar

benefits for an asset management manager from a broker as a result of the commission from the transaction

kurtosis

measures excess return per unit of risk

kurtosis

measures in which distribution is more or less peaked than a normal distribution

positively skewed

long tail on the right said


some observations have much larger value than distribution of the set


median is less than the mean

negatively skewed

log tail on the left side


outliers are much smaller in value than majority of observation


median is greater than mean

simpe random sample

each member of population has the same likelihood of being included in the sample



systematic sampling

every kth member is selected until desired sample size is reached

stratified random

grouping members of population to subgroup (mutually exclusive, collectively exhaustive)


improves representativeness of sample by reducing sampling error



Desirable properties of estimator

unbiasedness, efficiency, consistency

Data Mining Bias

Looking through data for statistically significant relationship till a pattern that works is discovered

sample selection bias - survivorship bias

exclusion of certain assets from a study due to the unavailability of data

Look-Ahead Bias

May not have complete information at the time of testing


uses assumed figure instead

Time-Period

when sample data is drawn from a certain time period


Results will be time specific

Null Hypothesis

Hypothesis to be tested.


Alternative hypothesis - hypothesis accepted when null hypothesis is rejected

Type 1 Error

We reject true null hypothesis

Type 2 Error

We do not reject a false null hypothesis

Power of the test

probability of correctly rejecting the null (rejecting the null when it is false)



p value

smallest level of significance at which null hypothesis can be rejected


probability of obtaining critical value that would lead to the rejection of null hypothesis


probability that a type 1 error is made

p value < alpha

reject the null hypothesis

p value > alpha

we fail to reject the hypotesis

Bollinger Bands

Periods of volatility tend to be followed by high volatility


When price is above the higher band = sell


when price is below the lower band = buy