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cenwandada · 2024年04月18日

第二个为啥是unit free

  1. FRM I
  2. Quantitative

NO.PZ2023091601000027

问题如下：

There are two statements.

Statement 1:The use of thefourth power makes the kurtosis especially sensitive to large deviations ofeither sign. This makes it useful in analyzing the chance of observing a large(absolute) return.

Statement 2:Theskewnessmeasures asymmetry in a distribution and is not unit-free by construction.

Whichone is correct ?

选项：

A.

Statement 1

B.

Statement 2

C.

Statement 1 & 2

D.

None

解释：

Statement2 is not correct .The skewness is unit-free by construction

​第二个为啥是unit free

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1 个答案

李坏_品职助教 · 2024年04月18日

嗨，从没放弃的小努力你好：


可以参考quant的基础班讲义Moments这个部分的内容：

意思是skewness这个指标是无量纲、无单位的。


skewness（就是讲义里的skew(X)）的公式包含了标准化的过程，也就是(X-μ)/ σ，但数据进行标准化之后，会处于均值为0，方差为1的状态，也就没有量纲了。

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