Capital Fund Management

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  • Goodness-of-fit Tests With Dependent Observations

    White Papers // Jun 2011 // provided by Capital Fund Management

    The authors revisit the Kolmogorov-Smirnov and Cram?er-von Mises Goodness-of-Fit (GoF) tests and propose a generalisation to identically distributed, but dependent univariate random variables. They show that the dependence leads to a reduction of the "Effective" number of independent observations. The generalised GoF tests are not distribution-free but rather depend on ...

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  • How Does The Market React To Your Order Flow?

    White Papers // Apr 2011 // provided by Capital Fund Management

    The authors present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, they decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour ...

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