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macrocephalopod's profile
macrocephalopod
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@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. macrocephalopod‏ @macrocephalopod 15 Nov 2021

      macrocephalopod Retweeted macrocephalopod

      If you’re building a time series model and you want any hope of statistical significance, do your analysis on non-overlapping periods.https://twitter.com/macrocephalopod/status/1460302495507525635 …

      macrocephalopod added,

      macrocephalopod @macrocephalopod
      Replying to @macrocephalopod @TheStalwart and 2 others
      Chart on the left - seven data points, statistically insignificant correlation. Chart on the right - each data point replicated 100 times with some noise, statistically significant (but very fake) correlation. pic.twitter.com/etlvFmk4ty
      12 replies 8 retweets 155 likes
    2. Robert Martin‏ @robertmartin88 15 Nov 2021
      Replying to @macrocephalopod

      1/2 Hmm I get that intuitively the overlap means that not all samples are independent so true variance should be higher than sample variance (and thus t-stat lower), but it also intuitively feels like completely disjoint subperiods throws away info.

      1 reply 0 retweets 6 likes
    3. Robert Martin‏ @robertmartin88 15 Nov 2021
      Replying to @robertmartin88 @macrocephalopod

      2/2 For vol estimation, the Hodges and Tompkins correction can be used to correct this bias (the bias in the variance of vol). Do you know if there's a similar method for general regressions?

      3 replies 0 retweets 4 likes
    4. Robot James  🤖 🏖‏ @therobotjames 15 Nov 2021
      Replying to @robertmartin88 @macrocephalopod

      Robot James  🤖 🏖 Retweeted macrocephalopod

      Deja Vu helped find this:https://twitter.com/macrocephalopod/status/1372997296481316864?s=21 …

      Robot James  🤖 🏖 added,

      macrocephalopod @macrocephalopod
      Replying to @macrocephalopod @goldstein_aa @therobotjames
      Instead you should use non-overlapping 1M returns on the lhs but smooth the regressors with a 10Y moving average, which gives the exact same regression coefficients but now you have non overlapping samples so you can do a normal t-test
      1 reply 0 retweets 4 likes
      macrocephalopod‏ @macrocephalopod 15 Nov 2021
      Replying to @therobotjames @robertmartin88

      Nice one robot — I knew I’d had this thought before but couldn’t remember if I’d committed it to twitter.

      10:45 AM - 15 Nov 2021
      • 3 Likes
      • Tho Do Robot James 🤖🏖 Robert Martin
      0 replies 0 retweets 3 likes

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