CTA Statistical & Quantitative Methods

Question 1

What does a Pearson correlation coefficient of -1.0 between two assets indicate?

Accepted Answer

A perfect negative linear relationship between the assets

Answer

No linear relationship exists between the assets

Answer

A perfect positive linear relationship between the assets

Answer

A moderate inverse relationship between the assets

Question 2

Which statistical measure is used to construct Bollinger Bands around a moving average?

Accepted Answer

Standard deviation

Answer

Mean absolute deviation

Answer

Variance

Answer

Standard error of the mean

Question 3

In a normal distribution, approximately what percentage of data falls within two standard deviations of the mean?

Accepted Answer

95%

Answer

68%

Answer

99.7%

Answer

90%

Question 4

What does R-squared (R²) measure when linear regression is applied to price data?

Accepted Answer

The proportion of price variance explained by the regression model

Answer

The slope of the regression line

Answer

The standard error of the estimate

Answer

The time-price correlation coefficient

Question 5

What does a Z-score tell a technical analyst about a data point?

Accepted Answer

How many standard deviations the data point lies above or below the mean

Answer

The absolute dollar change of the data point from the prior period

Answer

The momentum of the data point relative to its trend

Answer

The trend direction implied by the data point

Question 6

What is the primary purpose of applying a moving average to price data?

Accepted Answer

To smooth price fluctuations and identify the underlying trend direction

Answer

To predict exact future price reversal points

Answer

To precisely measure current market volatility

Answer

To calculate total trading volume over a period

Question 7

In time series analysis of price data, what does autocorrelation measure?

Accepted Answer

The correlation between a time series and a lagged version of itself

Answer

The relationship between price changes and volume changes

Answer

The variance of returns over a specific time window

Answer

The probability of future price movements based on current momentum