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Stocks, Significance Testing & p-Hacking: How volatile is volatile?

October is historically the most volatile month for stocks, but is this a persistent signal or just noise in the data?Stocks, Significance Testing & p-Hacking. Follow me on Twitter (twitter.com/pdquant) for more. Over the past 32 years, October has been the most volatile month on average for the S&P500 and December the least, in this article we will use simulation to assess the statistical significance of this…See More
Jan 20

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ML Researcher - Quant Finance
twitter.com/pdquant
My Web Site Or LinkedIn Profile
http://medium.com/@pdquant/
Field of Expertise
Data Science, Machine Learning, Deep Learning, Blockchain
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ML Researcher
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Patrick David's Blog

Stocks, Significance Testing & p-Hacking: How volatile is volatile?

Posted on January 18, 2019 at 5:30am 0 Comments

October is historically the most volatile month for stocks, but is this a persistent signal or just noise in the data?

Stocks, Significance Testing & p-Hacking. Follow me on Twitter (twitter.com/pdquant) for more. Over the past 32 years, October has been the most volatile month on average for the S&P500 and December the least, in this article we will use simulation to assess the…

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