Table 2 Fraction of empirical return distributions (both for stocks and trading days) that are compatible with their ensemble counterparts based on Kolmogorov–Smirnov tests at different significance levels.
From: Maximum entropy approach to multivariate time series randomization
Ratio empirical aggregated pdfs not rejected by a K–S test | ||
|---|---|---|
Aggregation level | K–S test significance | |
0.01 | 0.05 | |
Stocks | 0.92 | 0.68 |
Days | 0.82 | 0.75 |