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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 |
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kurtosis |
measures excess return per unit of risk |
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kurtosis |
measures in which distribution is more or less peaked than a normal distribution |
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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 |
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negatively skewed |
log tail on the left side outliers are much smaller in value than majority of observation median is greater than mean |
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simpe random sample |
each member of population has the same likelihood of being included in the sample |
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systematic sampling |
every kth member is selected until desired sample size is reached |
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stratified random |
grouping members of population to subgroup (mutually exclusive, collectively exhaustive) improves representativeness of sample by reducing sampling error |
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Desirable properties of estimator |
unbiasedness, efficiency, consistency |
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Data Mining Bias |
Looking through data for statistically significant relationship till a pattern that works is discovered |
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sample selection bias - survivorship bias |
exclusion of certain assets from a study due to the unavailability of data |
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Look-Ahead Bias |
May not have complete information at the time of testing uses assumed figure instead |
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Time-Period |
when sample data is drawn from a certain time period Results will be time specific |
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Null Hypothesis |
Hypothesis to be tested. Alternative hypothesis - hypothesis accepted when null hypothesis is rejected |
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Type 1 Error
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We reject true null hypothesis |
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Type 2 Error |
We do not reject a false null hypothesis |
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Power of the test |
probability of correctly rejecting the null (rejecting the null when it is false) |
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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 |
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p value < alpha |
reject the null hypothesis |
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p value > alpha |
we fail to reject the hypotesis |
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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 |