Techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables.
3
votes
1answer
115 views
How to determine ratios for mean-reverting basket
Suppose I have a basket of 3 securities A, B, and C. I believe that the basket is cointegrated and I want to create a mean-reverting trade. I fit the model:
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7
votes
0answers
71 views
Regression in liquidity risk model of Jarrow/Protter
In the paper "Liquidity Risk and Risk Measure Computation" authors describe a linear supply curve model for liquidity risks in presence of market
impact, i.e. impact-affected asset price $S(t,x)$ is ...
3
votes
0answers
218 views
How to balance two Forex crosses correctly to do a linear regression?
I have two cross and an account in EUR:
EUR/USD
GBP/USD
I would like to do a balanced linear regression using R. With "balanced" I mean that I would like to normalize it by calculating the ...
1
vote
0answers
67 views
What to do with linear regression or regression splines outside of the training range?
This is a cross-post from here
In my question on a load forecast model using temperature data as covariates I was advised to use regression splines. This really seems to be a/the solution.
Now I ...
