A temporal sequence of events measured at discrete points in time.

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Are there alternatives to the Box-Tiao decomposition in identifying mean reverting portfolios?

As documented in this paper, Box-Tiao decomposition (a way to decompose multiple time series into components with different speeds of mean reversion) can be used to identify mean reverting portfolios. ...
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4 views

Measuring promotion baseline smoothing [migrated]

I am trying to estimate promo effectiveness for a retail product. To do this I have taken monthly quantity sold data for the product. My question is - Is it logical to model the sales baseline (sales ...
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17 views

VEC GARCH (1,1) for 4 time series

I have to estimate a VEC GARCH(1,1) model in R. I already tried rmgarch, fGarch, ccgarch, mgarch, tsDyn. Has somebody estimated a model like that? ...
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23 views

Eurostoxx50 data in USD

does anyone know how I can import from yahoo the Eurostoxx50 data denominated in USD (not Euros as listed on yahoo?)
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0answers
45 views

Estimating Daily Dynamics using Hourly Data

This article gives a nice outline of how daily data can be used to estimate cointegration on a monthly horizon. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905 I'd like to use the same ...
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1answer
66 views

Aggregating Tick Data

I have Level 1 data that has already been aggregated into 0.5s buckets by the exchange. I'd like to further aggregate the data into hourly and daily buckets. I plan to do this by simply taking a ...
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1answer
59 views

Memory-efficient clustering algorithm for large time-series datasets

I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
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1answer
30 views

Is there any package in R for conditional autoregressive range model (CARR)?

I am working on a project which requires volatility estimation using range based volatility. Is there any package in R which helps me in estimating the CARR model proposed by Chou (2005).
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1answer
78 views

Augmented Dickey-Fuller Questions

I've been searching in bibliography about this test applied to an AR(p) model. $$Q(L)(Y_{t})=c+\epsilon_{t}$$ Where L represent the Lag Operator and $Q=1-\phi_{1}x-.....-\phi_{p}x^{p}$ is the ...
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0answers
35 views

How to fit exogenous + GARCH Model In Python?

I am studying a textbook of statistics / econometrics, using Python for my computational needs. I have encountered GARCH models and my understanding is that this is a commonly used model. In an ...
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1answer
28 views

adding dummy variable to ts object in r for particular quarter

I've looked all over and can't seem to get a clear idea of how to do this; I have ts data with quarterly frequencies. I simply want to add a dummy variable only for the data corresponding to Q4 but I ...
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2answers
89 views

Augmented Dickey-Fuller Test/ Unit Root test on multiple time series dataframe in R

I have a dataset/dataframe in which I have calculated the daily log returns of five thousand companies and these companies are as column as well. I want carry out ADF test on this dataframe. I have ...
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28 views

In what situations would cross validations scores be inaccurate?

I'm trying to fit a SVM model on times series stock return data, predicting a buy, hold, or sell signal of the stock. I'm using 10-fold cross validation (using the R package ...
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2answers
202 views

What time series database can be used with Python and Pandas?

I'm looking for a time series database that can be easily used with Python and Pandas objects such as DataFrame, Panel... But these objects will always contains time series. Ideally I'm looking for ...
4
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1answer
99 views

Is that a good way to work with the ARMA model?

I would like to share with you what I am doing to get your point of view, and to make a better trading system in collaboration. I am working on EURUSD forex, and I am trying to find a way to place ...
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0answers
22 views

Including intercept and trend in ADF of differenced series

When specifying that the trend and/or intercept be included in the ADF output, does the trend/intercept election follow through to the ADF tests of differenced data as well? To clarify further, I ...
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1answer
132 views

ARMA+GARCH prediction with package rugarch (R)

I am analyzing FTSE 100 series, from 2007-01-01 to 2010-12-31 (university exam homework). I have to use the data 'til 2010-11-30 as sample, and the remaining (23) observations as in-sample forecast ...
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1answer
95 views

Transforming daily simple returns into weekly

I am trying to transform daily simple returns into weekly returns. I am using the following R code: ...
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0answers
15 views

Download DGS3MO from FRED with getSymbols - error

I follow the course "Mathematical topics in finance" from MIT courseware. I opened R and rendered Dr. Kempthorne's Case Study 3: Time Series from September 30, 2013 I am able to render the code and ...
2
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1answer
45 views

Estimating Carma(2,1) parameters (using yuima package)

I am very new to R, and particularly to the yuima package, so I was hoping someone would be able to help me. I have some data (daily prices) that I wish to fit to ...
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0answers
21 views

Measuring strength of correlation for bivariate time series

In case of a bi-variate time series with both I(0) how do I measure the strength of co-relation. I am looking for measure similar to R-squared but ideal measure may not be one of the variants of ...
2
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0answers
41 views

When to use SV or a GARCH model

So i have been searching for this answer for a question if there is a rule or something that would say when to use GARCH type model or use an stochastic volatility model to predict the volatility of ...
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0answers
44 views

copulas and time series

Can anbody explain how Copulas are used to describe the dependency between, for example, the return on two different stocks? I understand how Copulas are the "glue" that binds the two marginals ...
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1answer
82 views

Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. ...
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31 views

CCC-Garch predict

So I'm trying to measure the VaR of 2 stock with a multivariate GARCH model, so im using the CCC model. I need to predict the standard-diviation and the mean but the ...
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2answers
160 views

Logistic Regression of tick data

I've been given some data (it's financial tick data) and I want to predict based on some observed variables whether the next move will be up, down or unchanged. So I have been trying to use ...
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1answer
70 views

Calculating the volatility for Black Scholes

The following problem is from the book by Hull. I did it but I am not sure it is right. I am hoping that somebody here can tell me if I did it right and if not where I went wrong. Thanks Bob ...
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3answers
112 views
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1answer
171 views

Shannon's entropy for financial times-series (return)

I'm looking at Shannon entropy, and generaly at ways to tell noise from signal when observing intraday returns (at the minute level for now). In python, e.g. I've implemented the fomula (sum of ...
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87 views

Application of time series analysis to Bitcoin prices

Various exchanges allow for the trading of Bitcoins. The price of Bitcoin was very volatile since the inception of the system, today it is 391.76 USD: I wonder whether time series analysis tools ...
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49 views

state space for affine yield curve

i would like to reproduce in R the working paper " Affine free arbitrage class of Nelson Siegel term structure". The authors considering the equation of nelson siegel plus an adjustment term(C(t,T)) ...
2
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0answers
69 views

Fourth moment of arch(2)

I am studying the ARCH(2) process given by $$X_t = \sqrt{h_t} \varepsilon_t$$ where $$h_t = \alpha_0 + \alpha_1 X_{t-1} ^2 + \alpha_2 X_{t-2} ^2$$ and $\varepsilon_t$ follows $N(0,1)$. Assuming the ...
2
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1answer
75 views

Define polynomials of an ARMA process

I just started out with financial time series and I'm a bit stuck with ARMA models. I have the following ARMA process: $-4X_t + X_{t-2} = Z_t + 0.2 Z_{t-1}$ Now I am being asked for the polynomials ...
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2answers
77 views

Is there an implementation of VAR-EGARCH model in R or Stata?

I am writing my undergrad honor thesis and want to run a multivariable VAR-EGARCH model. Is there any package in R or formulas in Stata 14 that allows me to implement directly? If not, could you ...
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2answers
130 views

What methods are there for showing a time series is mean reverting?

What methods are there for showing a time series is mean reverting? Is there a hypothesis relating to the Ornstein-Uhlenbeck process for example?
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1answer
116 views

Building predictive model for closing price using only previous days data

I am trying to determine which quantitative model to try and build a predictive model for the next day's closing price for all the S&P stocks based on their bar for that particular day. However, I ...
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0answers
47 views

Transforming Variables in time series regression

I have multiple quarterly time series data and trying to build a linear regression model using this dataset. Should the transformations on the LHS and RHS be the same i.e QoQ percent changes? Could ...
2
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0answers
69 views

Imposing Restrictions on Cointegrating Vectors, R example

The code given below estimates a VEC model with 4 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor). ...
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2answers
193 views

Is the average of independent Brownian Motions still a Brownian Motion?

If $W$ and $B$ are independent Brownian Motions (BM thereafter), then the average of $W$ and $B$ is $X_t=\frac{1}{2}(W_t+B_t)$. Where do I begin to show that indeed it is still a BM? Also, if both ...
4
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2answers
240 views

How to trade a Ratio?

I came across a ratio plotting of Corn And Soybeans contracts, notice it's in a historical low, an intuitive question came to my mind, how should I trade this ratio (or relationship)? It's unlike flat ...
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1answer
77 views

What is the variance risk premium?

Can someone provide an intuitive understanding of the variance risk premium? I am very confused by this definition and cannot interpret my time series analysis.
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3answers
325 views

Does Kalman filter always improve over linear regression?

If I have a simple linear regression that has statistical signification but I would like to improve the overall prediction results. Will a Kalman filter be always an improvement or as least achieve ...
3
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1answer
93 views

volume-returns cross correlation interpretation

I want to find the relationship between volume and price returns in the S&P500. My first thought was to run a cross correlation in order to find who leads and who lags in the relation. It´s my ...
4
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0answers
201 views

How to forecast high-frequency data?

Introduction: I have seen a plenty of articles/books regarding volatility forecasting applied to high frequency data, but none of them were dedicated to forecasting the actual prices (for example ...
6
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1answer
282 views

How to use physics models in Time Series Analysis and Forecasting.

I have been studying methods of Technical Analysis for several years and I am disappointed. I actually do not consider it useful. I have not met anyone who can constantly win in the market using these ...
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2answers
681 views

Performance of Open Source Time Series Database for Financial Market Data

We would like to store financial tick data in a database (potentially billions of rows) and then create aggregated (open-high-low-close) bar data from it (e.g. 1min or 5min bars). It was mentioned ...
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42 views

labeling high frequency signal data

Was curious if anyone has methodologies they can recommend for systematically labeling (discrete) signals generated from intraday tick data for use in classification or detection models ?
9
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4answers
533 views

Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?

I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble ...
4
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1answer
178 views

Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...
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31 views

Specifying integration level of time series [closed]

Following model was estimated on 200 observations. How to specify the level of integration of $X_t?$ In brackets there are standard errors and p-value of Breusch-Godfrey test is also shown. ...