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LLP210 · 2025年03月26日

不太理解这道题目的问题以及对应的解答

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NO.PZ202405210200000502

问题如下:

Snow's data evaluation period most likely helps reduce the potential existence of:

选项:

A.nonstationarity. B.survivorship bias. C.appraisal (smoothed) data

解释:

Changes in technological, political, legal, and regulatory environments; disruptions such as wars and other calamities; and changes in policy stances can all alter risk-return relationships. Such shifts are known as changes in regime. The statistical problem of nonstationarity occurs when different parts of a data series reflect different underlying statistical properties, regime shifts exist within the data.

By preferring asset classes with long periods of returns data and not emphasizing a specific period within that return series, Snow is trying to minimize the potential impact of nonstationarity in her CME process.

老师这道题目不太理解,题目是问,对于解决哪种bias有帮助?为什么选择了较长的时间,对non-stationary数据是有帮助的呢?

1 个答案

笛子_品职助教 · 2025年03月27日

嗨,努力学习的PZer你好:


Hello,亲爱的同学~

分别看ABC三个选项。


选项A:

Snow使用‌完整历史数据‌,涵盖不同经济周期(如扩张、衰退、政策变化等),使模型能捕捉到资产回报的长期统计特性。

因此可以对non-stationary有一定的帮助。选A。

例如某资产在市场危机时刻,某一年的收益率表现会异常。

如果选短期数据,例如只选3年数据,这3年数据里有1年是异常数据,就会表现出非平稳性。

但如果放到几十年的时间里,某一年的异常收益,表现就不那么明显,因此数据会体现出平稳性。


选项B:

Survivorship Bias源于‌资产选择‌(如只选现存资产),而非数据时间段的选择。

但题目强调Snow的评估方法是“使用完整时间段数据”‌,而非资产筛选标准,因此与B无关,排除B。


选项C:

Snow明确选择‌流动性高、市场数据充足‌的资产(如股票、债券)。

这类资产的价格由实时市场交易形成,而非人为平滑的估值数据。

因此排除C。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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