Tagged Questions
0
votes
2answers
221 views
What stock market indicators to model based on twitter feed? [closed]
We are developing an algorithm that models twitter users and groups of words that may indicate real world events.
One application is modelling elections, i.e which party is likely going to win. ...
4
votes
0answers
88 views
Rolling window Kendall's tau against APARCH(1,1) correlation
Assume you want to forecast the correlation matrix of a stocks' basket (say 15 ~ 20 stocks from different sectors); assume you need to forecast at $T$ days because you will use the forecast ouput with ...
6
votes
2answers
312 views
The T+H Problem in Factor model forecasts
Suppose we train on M individuals consisting of T observations (i.e. TxM design matrix). The dependent variable is one-year return for each security (H = horizon of one year). In a factor model ...
