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Quants Level 1

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0% found this document useful (0 votes)
9 views97 pages

Quants Level 1

Uploaded by

ajayrajmahala
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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pOMS Page No.

Chp 6 Hypothesio Tesin Date

Hypothesis Testing ia Hae staisHcal as5esSoent


Stateceot idea ideaegatdin aPopularon

A doio which Test


wuot o

0 l00

Sormpling BishbuHop
-MC

SC
S3
2000

mean ka m o

Shd
n
DOMS Page No.
Date

Run Hyporhesis

Cloio
u0on to Check shethen ehoxns on SoCE
mavkeh q1eaer ma 0. i t h 95/ Conbdene
Mue ky laqoha
iaeual
nal
D: 30
Ha 5

AleroaHye Hypokhesis

Ho l0_

ol Hpolhesis

Shd EOY

mmsamp le
haHSHC
14.
30
0128
Con ve S d Nvrna

ean
4.38
o-
4-10
o 912 This is 2 T s h D 912%s

4:393
OMS PageNo.
Date

Nou otHh 93 Contdenee HhaY nehuvo 10

This is one aled

38 T-Sta
O 1-65
Desoko
CHca Vcue-

So ea theck 15:. n ta

ka devtaon îs .65
o1iespond 0n
S0, F 0on o 5ay dith 157 Dohdente meo.
Hoe onsostondovdize enosmal of 14. i-e 433
should be moxe m a o:65 hen |Can 60
h a _he yehYng_ CKe More hnan 10. oith
Coaidence
lo Hupotoesis alunaus 6

OReject Noll OR

e Failed o Reject loi

HPe io ouY ase Con Reect Nsll


oiSPge
Date

T8 Fovoula F
TSThT > |u Rejecr Nol
NoLO fo beter undeis landiog
w Con_alaa calculak
OUobens

fos 10+ 65 x 0.9128


I506

eect n o l

EKOrople Video Pov 2

omple Stohahi
30
5

CT 15

Ha <0/.
.
Stand Noinmo

5td 6KOY
J3
o9128
4336145
stat

Reect NUU_
1
OMS Page Mo.
Date

No 1F my_anaweY ie T-5tat 4.3 Douldhave lied


io behoeen -96 and .96 men my

Onsuseuld have been Failed) Reieck Nal

P-Value Video Po 3

= Value io tonmpaxoble. dit T-6tat

T-5hob P- Valwe
Con Kdenre Leve
T-Stot CHcalValue Reject NI
ultai55
P- Val ue
Signikconte Leel ReetNall
oOol 5

a s a aa39kta

P-Jalue is Hhe bomallesr eye) of Sigoih con


a nich odll con be 2eeced

Con Cone in Theory ant


Tpe ond Tupe Eioss

O Type Cia rheeecHon ok he nul hupathess


hen 6achoally ve

T e T (ssor he roiluve oatt icct he nou


hypanheia hen i is athally
false-
OMS| PageNo.
Date

OecisOO Hoe Cond oo

Ho i s Ho io False

Donot ejeck Ho Corec Dectsion looitec Derisioo


Fal to Reecr Nut
(NOLL
TuRe Evror

Reeck Ho ocDHtect Dectsoo Cosec Deti,to


CAULLI
p eT Enos
FType T Eos) -P Tpe Err
Signikcooce leve))

Conhden Lee -PCTyp I Crror)


Agnificocta
boel

rtr}
Noe UIdhon Ka Hypothesis a h i heta nai
OMS Page Mlo.

0ate

Video Pant
Tes Relaked o Votiange
Hpothess

Nofmal Distibvtion

inleVoiance Fguali o 2 Voviares

F Tes Tab
Ch)-oavNe Chivave
Citcel Value
Tes5toHsHc Table CT-Stat)
-LT-5fa1)
Rmula
>LGaical Vale Rejec
Null
51 Lodeen samplt
2
52
n Nooenahod

Mostty5ka anJey
Hypcthesiz ed laluc_ Gven saeg
ven sdhea

235
Forple Chi 6uove Tes Single opulabior Vatiaoke
Saople Vsniance

T-6tat o-)5 24-1.3) 20:16


S m k
onetk
kanna hai

2
Ha
0 0016
Ho 0 =_

Kememben Deuiah'on ea ypuheis ab boa


Hmeaha vaniance
OMS Page No.
Date

Talleo

25.

t634 38.016

DE 24-
2016
Fallcd h fect Nuy
22
Level oSihcanc 5y.
Chi 69uaredtdble catY cnl gn ta.
fog lef t e have to ure 975. i e O75|

The oosk ecent standatd deviaon is 0o


Stohshtally dirtenent Eoo aduebsed Stondord
deahen.
DOMS Page ho.
Date

P 23
FKocaple 1es fx
Ca Naciante) - Vided Pont 5

Textilelndushry fo ponlodus
n : 31L n 4H)
bx 4 30
5 3:8
df 30 af Ho

T-Stat (4.3 .2805


(3

-upPn Tal f: S t
Toks le

1-94 Citcal Value


.2805 1-24

T 5tat< Cnbcol Value

.' Faled o Reje Nul

in bob industvu is nbk


Variaoce eaxin4s Hom
Stah'ShcalL, dllenent
cach ott
Paçe ic.
YCUVA

Chp Ii- ATKODuCTIry lo Aineay Kessess iom 0ate:

QvantS

Saropling and ftienahion Video Part

Sarnple
2o00
Sormple 2 2 Sapling
Distibuhon o.
2000

Mean ka me an

Has Prapexies
Sacapling Gaiased Esinaloy
Expeced vaue of e eStrnator
pato
-te eahionate

2EfGcieot
VoiOnre kiSrahai

3
Payarmee Consistent
e5hmate as t
he achal Valwe

Noke Standoard Deiahion


Pol DeNiahion
Sacgplin Distribuhon is Sarmple Deviahon Kar
2 Standard E o
flation sonalu
me how tel tsel dort iante CoLar Note
B0u Cov
200
20
l60
60
I6
40
\20 20 4
|2
2
B A
Paxt3 Video
No
ul) Rejeck
Sat T-
t 5BaHeically unswer5
lo. e Con Hhat
Valve CaiticaI |65 han mDxe sbould
be ans The
C-Value
T-Sta t
I656
2-1967
YoUVA
3
No
Page
2-19
nai kana iZe Standa

o EYYOT Std
S
5/.
30
kiya nahi prove
ha talk Jab Notie
Ho
Ha
ence coofd ar8in
95: har
Movket
is.
Hypothesis
Test Runaa
Date:
Page No.:
YCUVA
Date:

Best Fi Line

way tat
=i6-25
mininal

ConsBaok

2
S 6 12 |3
4:15
Note- The Bes} Fit Line siM
alua5 pas6.

Beta
Varioncem

625

S5125
Ds1332 H-6625

hen eV eY we aYe
+0:61332
aiching to y
6 Pagen:
Dale:

CoV

Kist
Covorione

Nouw

Stock Morket
Compang
t

2. 31. 475
4). 5/.
5. 6-25
3.

Const a n t . lO
Dependent Slope
tartabte Co-efhcient
Explained Vorable;
lndepend ent Var}abe
Rrediched
Variab'e
Expanaory
pvedicina
Page No.

0ate: YGUVA

thio eguohton i5
iotpreted
Y depends |enHYelyon

That means1 Con


Hen
Say if X chon4e5 b
Yil) chanae 5 unit [e o.cg
No

SBo ck rloykeX

2/
3.
5|.
8'2

Va|ue

X
IX 3 3 Se
Date:
6lope

Vide at

Slope

No te QuDp0Sea to beondor
Stope 5

Note: -

iaearly so elaioo nab) bai but du5T0


ho 5ak,ia ha
ikeiyyerooa,et
T

Page No.
YOUVA
Date

Reoernbey,obehev ex We
pediting he valve e
we do mok take
henm
No

bo t

Acva) Valve ke iOE

No

Best Fit Line


inim)ze5
which
i5 one
he

(
2

2 3

Mioio)2e the
Syonmaho
bo t bixt)

(
59uaYe nahi kiya toh Hbpe is
Page No.

Date:

bo

bodepenorek
Con stont
Dependent
Slope

Cov

Coy 2, X

Nohe:- CorYe la hon has onl


the explo na to yy
poweT.ie bow
X

oqeeY

pera says kitoa Volate hai


market ie oX and CoYrela hoo ie
depends n
Beta
6.
oope
bo t blx ~

332+ 1866tx

Predrcted tatve Best Ft ie


Page NO.

YOUVA
Date

5.
Vaxione of Yesidual ter m Constant

econ
stant

cal) ed a
Homoskedasic

CoOStaot nohi aha


Called

Heexo sked ashcy

Video Pont lo
Residual term is
J independently dishibukd.
Resldoal fon one obseNaHon
nnr coxrelaed
abseuahoo me sidval Semanelaho

EA,tB OU1d be
Time

Seial ConelCion
M

Page No.

Date:

Video Ront
* Assunnphons nf Linear Rearession.
A Linear Telationship enists beeen Hoe
depender
indrpendent voriable s

O aha tos oabil


bo t
toeaetatonsip

Ipo he6is

2.
Inàependeot ayìable is UocoXxelated

tRundon.

3. Re Sidual term 15
Distribuled
Error Term

4. ExpeCled vaue o esidval hern


Rred tcted valve
Coefficient of DeteXmiahon Cor't be KegeSSion
Muliple YOUVA
ate:

Eaplaintd
R
55T Total
den anly fox siagle
sinqle linfa
80. teny Kegression

eaplained by R
what iS
CoYYelah'on

Ao6'

No

55T R55 55E


2a Total aviaion Explained Voriahùo Uneaplained vaviahox
io

y<- achual MSR RS5 5urg


Vaiaion
K J
vGtab
J one
65E
formula
RS5 n-7-|

indeperdeot ariabley
SR = RSS
55F

55E

uneapaiord variahr n-2

Stan dod Ex0r o


Eshnoate
4 which will alays be constcn
Page No
Date:

* Dierence beheen ExTor Term k ReeIdwal


PopulaHon

3Kesidva Sample

No 70tatVariaheo

S$T

NOF abte
to enplain
Explained

Keqre s6iom
Sur of

S5T
Tota aiaHeo SSE R55 55
SSR
No
ituuld be a that R55 more hen
2!.08 :96 47.
STaridavdi
e
|-2
doydì
ze Ston
tal'led) 2 |96 idence Con q5/
40 n |.2). 0= a
4/ [tahsic argple
Ho
Ha
0/ Dat neYnS Check
if §:aot
to
I)Part (video
5b hen
depends 6imlorly
5b)
ndo depe
No
popl"g
huoch'oton 5b1S
depends
on
No
YGUVA Date:
No. Page
Page No
Date

No Mote

kt
bo t by 1

fore ças Sb
Std eYOY
SA

1 Soo0 stoCk3

200D
Popl" b) ka Oshibuion
2000

Sonpling Dist

5td
exT0

(Ska o de
T

Page No.:
Date: YoUVA

Exomple Hyporhes is Test ox Slope oeffcient


Solve 5ing SoMe P13

bo

We
aluays est bypoe5is fov 5lo pe ie
bj
Sbould be staHshcall diffeyernt

behwe eri
linea Yeq Ye$sion ka Ikuch SenSe
nahi bonea.
Wont o check if 5l0pe
Ha bL

064
sahshc
Sbi O26
J
6lope a shd esog
36

36 2 34
Page
Date

2)
F-Sta

as. anbde F

4).

o1s9)4

Ex0cnple
I:966 - 0:372
F

4 F: Table

3{25 4372

Rejeck tol

The
Pagc No.
YOUVA
Date:

MR CVideo Part 2)
F-SBaH6hc
Ri5
k

'e both are in Spuares

Varionte hai o Qne Tailed


haga ie PosiHve ohe
FTest is alius posi hve
Ez0mple
T1 Caltulahing Inttprehog FStat
MsR
633
ME Oo0 12
fTable

Ceow)
df denominar 36 - 2 - 3 4

Caihcal Volve
F5tat CV

Keiect NoH
The siope Cuefhkwent

Yavt kua Ko sahe bi


20
\Dale

064

026
2:035b) = 2

95. condene
CTuoo Tarled)
203 5b)

To checb 064

Mehod-2) Standadie kay lce


2 46

Rejett Nu |.
S S
Page No.

2) Date:
YOUVA

Log-Lin Mod el

Dependm Voríohle Cy is in Log Llo


i5inea independeol

Heve Slbpe Corfhcient is deteronedin prekd as


91elaiVe
honae in me de pendent Vosiable ay
an abSDlod
chanae in he Indeperden t Vor foble

* Line- Log Mode

Depeodrot voziosle LYis lineay ond


Noziable [ is in Logn ladependenk

Dppfndernt A Indeptndent bort ave in

:oil oave Iielahve chon4e


Variable wbich í5 in pay wil) have ob5dlu
Chanae
22

kineat kevession
Only in Single
i5 F:SLat
T: Stat ka &, uoYe

bo t bx

bato to bai ?

that E bi 6ta ss Hcally different hal

indiuidually bata a bai T6al .

But E6at 02

Saath nai checle Karta

Qnd elk
J
independeot voytoble ka slup:
Note: -
ideally sed fo
MulHple Keqression

neieched.
P- value <

Reject Nu)
Sigoican(e P-Value Sigoi
Rer'e

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