Problem bank
Problem 231 of 333EasyStatisticsP231
Is a 0.03 correlation a signal?
A signal has sample correlation with next-day returns over 10 years of daily data (2,520 days). Is the slope of a regression of returns on the signal significant at the 5% level? How many years of data would the same correlation need to reach ?
See the hint and solution with a free account
Every problem on Quant Engine is free, with a hint and a full worked solution. Making an account takes 30 seconds and no card. Then you can see them and track what you have solved.