Quant Mashup - Bayan Analytics
Using Heavy-Tailed Distributions with TASI: Student t Distribution [Bayan Analytics]
In this post, I continue trying to fit the daily log returns of TASI index using heavy-tailed distributions. In the previous post, I used Pareto distribution to model TASI index’s left tail. In this post, I use Student t distribution. Recently, Student t distribution has been used widely by
- 8 years ago, 20 Feb 2016, 01:33pm -
Using Heavy-Tailed Distributions with TASI: Pareto Distribution [Bayan Analytics]
As established in a previous post, Tadawul All Shares Index (TASI) of the Saudi stock market has high excess kurtosis (9.903). The high kurtosis indicates that TASI has heavy tails. This means that the probability of extremely large negative returns is higher compared to a normal distribution. In
- 8 years ago, 12 Feb 2016, 10:43am -
Correlation Between Oil and GCC Banks and Financial Services [Bayan Analytics]
West Texas Intermediate (WTI) Crude Oil price started plummeting from a high of US$107.95 in June 20, 2014 to a low of US$31.42 in Jan 11, 2016. Prices of US Banks and oil are becoming more coupled now due to US Banks’ exposure to energy companies; especially medium size companies and shale oil
- 8 years ago, 22 Jan 2016, 03:40am -
Comparing the distribution of TASI vs other GCC Markets [Bayan Analytics]
World markets have been extremely volatile recently. TASI changed -12.68% in 1-month, -25% in 3-months and -31.73% in 12-months. How do the changes in TASI compare to other GCC stock markets? In this post, I use QQ plots for comparing the log returns distribution of TASI index versus other GCC stock
- 8 years ago, 17 Jan 2016, 03:15am -