Research method
Quantile analysis
Quantile analysis is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive7 readings
1986Evaluate the price random-walk question as a gated quantile lab1989Path quantiles versus net return for index velocity regimes1992Opening-referenced percentile stops for same-session gaps1995Constructing mean-deviation histograms and price quantiles1995Read one equity position on a joint yield-regime card2012Construct a pairs-trading worksheet from residuals and quantile ranks2015Constructing mean, median, and mode from ordered prices
This registry entry describes a research method. It is not investment advice and does not make a performance claim.