Class CalendarAnomalies

java.lang.Object

com.quantfinlib.alpha.CalendarAnomalies

public final class CalendarAnomalies
extends Object

Calendar anomaly profiles: day-of-week and turn-of-month seasonality with their t-statistics. Most published calendar anomalies (the weekend effect, the January effect) decayed after publication, and what separates a tradable seasonal from a data-mined one is a t-stat that survives out of sample. Treat |t| < 2 as decoration and re-test out of sample before believing anything (see AlphaValidation).

Significance. Daily returns cluster in volatility, so iid standard errors understate uncertainty. Both profiles report Newey-West (1987) HAC t-stats from a dummy regression on the full return series (lag from the Andrews 1991 AR(1) plug-in on the returns), with the iid t kept as naiveTStat. Testing five to seven days at once, the best of them clears |t| > 2 by chance far more often than 5% of the time, so the day-of-week profile also flags which days survive a Holm (1979, Scand. J. Statistics 6(2)) step-down correction at the 5% family-wise level, using normal two-sided p-values from the HAC t.

Turn-of-month windows use calendar days of month (last daysBeforeMonthEnd calendar days + first daysAfterMonthStart), not trading days; with daily equity data the difference is a day around holidays. Timestamps are interpreted in UTC. Static, deterministic, research lane.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	CalendarAnomalies.DayOfWeekProfile	Per-day-of-week profile, indexed Monday = 0 … Sunday = 6.
static final record	CalendarAnomalies.TurnOfMonth	The turn-of-month split.

Field Summary

Fields

Modifier and Type	Field	Description
static final double	FAMILY_WISE_ALPHA	Family-wise error rate used for the Holm flags.

Method Summary

Modifier and Type	Method	Description
static CalendarAnomalies.DayOfWeekProfile	dayOfWeek(double[] returns, long[] epochMillis)	Mean return by day of the week.
static CalendarAnomalies.TurnOfMonth	turnOfMonth(double[] returns, long[] epochMillis, int daysBeforeMonthEnd, int daysAfterMonthStart)	Turn-of-month effect: returns inside against outside the month-end window.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Details

FAMILY_WISE_ALPHA

public static final double FAMILY_WISE_ALPHA

Family-wise error rate used for the Holm flags.

See Also:

• Constant Field Values

Method Details

dayOfWeek

public static CalendarAnomalies.DayOfWeekProfile dayOfWeek(double[] returns,
 long[] epochMillis)

Mean return by day of the week.

Parameters:

returns - per-period returns aligned with epochMillis

turnOfMonth

public static CalendarAnomalies.TurnOfMonth turnOfMonth(double[] returns,
 long[] epochMillis,
 int daysBeforeMonthEnd,
 int daysAfterMonthStart)

Turn-of-month effect: returns inside against outside the month-end window.

Parameters:

daysBeforeMonthEnd - calendar days at month end in the window, ≥ 0

daysAfterMonthStart - calendar days at month start in the window, ≥ 0 (at least one of the two > 0)