Tagged Questions
5
votes
1answer
290 views
Major FX pairs - Pentahedron Data Structure
I read an interview today with Stephane Coquillaud.
He talked about this idea of formulating a data set of the G5 currencies as a pentahedron. The obvious benefit is the fact that there is more ...
7
votes
1answer
694 views
Time series price prediction and linear regression: using high/low rather than last quotes price
Discrete time series regression models, like ARIMA, are usually built around the assumption that we only have 1 available price for each period t, which I will call the Close.
In reality asset time ...
5
votes
0answers
463 views
Alternative to Block Bootstrap for Multivariate Time Series
I currently use the following process for bootstrapping a multivariate time series in R:
Determine block sizes - run the function b.star in the np package which produces a block size for each series
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