Alpha of The Week (#80)
Last week, we shared the theory on least squares methods.
In the upcoming post we will discuss statistical concepts such as efficiency, consistency and sufficiency. We cover the usual probability distributions and models, and discuss estimation methods. We also look take a look at non-parametric statistics, giving us analogues to parametric tests that require weaker assumptions about the underlying distribution. This is of course useful to analysis of market data. We then look at tests and hypothesis testing, Monte Carlo methods and so on. These discussions provide basis for developing the practice of sound statistical analysis of trading rules and systems, which we will discuss and write code on.
Alpha Report Preview:
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