A sequence of events measured at uniform intervals of time.
8
votes
3answers
210 views
Are there any standard techniques for adding realistic synthetic microstructure noise to a price series?
This may seem like a strange question, but for my particular application we need to actually add synthetic microstructure noise to real time charts. The signal should still be representative of the ...
30
votes
5answers
5k views
Efficiently storing real-time intraday data in an application agnostic way
What would be the best approach to handle real-time intraday data storage?
For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
22
votes
6answers
5k views
How are correlation and cointegration related?
In what ways (and under what circumstances) are correlation and cointegration related, if at all? One difference is that one usually thinks of correlation in terms of returns and cointegration in ...
9
votes
1answer
210 views
Is a linear combination of GARCH processes also a GARCH process?
If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
9
votes
2answers
1k views
How do I calculate the skewness of a portfolio of assets?
I need to calculate the skewness of a portfolio consisting of 6 assets. I know that for that I would need the co-skewness matrix between the assets. Does anybody know the formula for co-skewness or ...
17
votes
2answers
988 views
How to quickly estimate a lower bound on correlation for a large number of stocks?
I would like to find stock pairs that exhibit low correlation. If the correlation between A and B is 0.9 and the correlation between A and C is 0.9 is there a minimum possible correlation for B and C? ...
8
votes
1answer
278 views
What is a commonly accepted econometric model for volume?
What is the gold standard econometric model for volume? For example, a common model for price is the autoregressive (AR) model with GARCH(1,1) innovations. Do you know of any good survey articles ...
5
votes
1answer
352 views
How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
How to model time series which are illiquid - 400 observations (transactions) per 8 hours ? Are there models suitable for this situation which incorporate not only size of the transactions but also ...
7
votes
0answers
293 views
Can we use White's reality check to compare two Sharpe ratios?
I read a paper from Ledoit and Wolf that proposes a method to compare two Sharpe ratios and a paper from White that proposes a method to compare $n$ trading rules.
My question is: Can we use White's ...
2
votes
1answer
124 views
Good reference on sample autocorrelation?
I'm not a statistician but I'm writing my thesis on mathematical finance and I think it would be neat to have a short section about independence of stock returns. I need to get better understanding ...
23
votes
5answers
2k views
How do I graphically represent the evolution of a covariance matrix over time?
I am working with a set of covariance matrices evaluated at various points in time over some history. Each covariance matrix is $N\times N$ for $N$ financial time-series over $T$ periods. I would ...
3
votes
2answers
332 views
Entry and exit points for very short mean-reverting timeseries
I have a model specifying a cointegration relationship on a number of transaction-level timeseries.
I would like to specify entry and exit points for trades where these points ideally would be just ...
4
votes
1answer
265 views
Is there any measure that is a non-trivial combination of VWAP and TWAP?
Is there any measure that is a non-trivial combination of VWAP and TWAP? For example:
\begin{equation}
\textrm{VTWAP} = \frac{\textrm{VWAP}+\textrm{TWAP}}{2}
\end{equation}
I'm thinking about ...
12
votes
5answers
3k views
What is the intuition behind cointegration?
What is the intuition behind cointegration? What does the Dickey-Fuller test do to test for it? Ideally, a non-technical explanation would be appreciated.
Say you need to explain it to an investor ...
5
votes
2answers
355 views
Choosing the time-frame to test for cointegration
Is there a technique to choose the time-frame for a cointegration test (eg Augmented Dickey-Fueller's)?
12
votes
6answers
3k views
What is the best data structure/implementation for representing a time series?
I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series.
...
3
votes
2answers
248 views
central limit theorem and VAR
If I have a lot of data points and number of different dependent variables, can I use central limit theorem to assume data is multivariate normal and compute my VAR? Is this the appropriate use of ...
2
votes
1answer
341 views
a simpler test for normality given skewness, kurtosis and autocorrelation and size of time series
I typically do a JB (Jarque Bera) test and DW (Durbin Watson) tests for check for normality given skewness, kurtosis and autocorrelation of the data. However this requires a CHI distribution table ...
9
votes
3answers
404 views
Literature on generating synthetic time series for testing
I have some market data (daily time series) for bond prices and CDS indices and I would like to generate synthetic versions of these which are statistically "similar" for testing trading strategies. ...
2
votes
1answer
251 views
Is there a measure for the 'degree' of cointegration
Is there a standard (or maybe even intuitive?) way of ranking pairs of cointegrated time series so that one could make statements like the following:
...
9
votes
6answers
861 views
How to generate a random price series with a specified range and correlation with an actual price?
I want to generate a mock price series. I want it to be within a certain range and have a defined correlation with the original price series.
If I choose, say, oil, I want as many time series which ...
8
votes
3answers
381 views
How to test for and how to simulate price rise/fall asymmetry in the stock market
One of the stylized facts of financial time series seems to be a fundamental asymmetry between smooth upward movements over longer periods of time followed by abrupt declines over relatively shorter ...
3
votes
1answer
303 views
Linear regression and assets direction prediction
I have the following asset returns Y and the predictions for the same periods Y':
Y = { 10, 200, -1000, -1, -7 }
Y' = { 1, 2, -3, -4, -5 }
The OLR R-squared for ...
9
votes
3answers
289 views
How to account for market movement when some exchanges are closed?
Daily data, such as open and close prices, is often available for much longer periods than high-frequency data. However, whenever backtesting any strategy that examines instruments traded in different ...
7
votes
1answer
718 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 ...
14
votes
6answers
1k views
How random are financial data series?
Pseudorandom number generators are often tested using e.g. a test suite like Diehard tests or Dieharder. If one would run these tests e.g. on stock market time series or other financial data, would ...
7
votes
4answers
736 views
How to interpolate gaps in a time series using closely related time series?
I am trying to construct a daily time series of prices and returns for some large universe of securities. However, all I have available are a monthly time series of the prices/returns (as well as ...
4
votes
1answer
345 views
How to apply quasi-Monte Carlo to path-dependent options?
Following up on my recent question on variance reduction in a Cox-Ingersoll-Ross Monte Carlo simulation, I would like to learn more about using a quasi-random sequence, such as Sobol or Niederreiter, ...
14
votes
3answers
2k views
Can the concept of entropy be applied to financial time series?
I am not familiar with the concept of entropy for time series. I am looking for good reference papers and examples of use.
8
votes
2answers
694 views
time series management system
I'm happy how we store a single time series but we somehow lack a system that glues them all together. I'm talking about a few million time series coming from ~50 data vendors and representing maybe ...
4
votes
2answers
143 views
What's the difference between SA and SAAR?
I've only recently begun working in the quantitative finance field, and I've noticed that some time series I'm given are labeled "seasonally adjusted", and some labeled with "seasonally adjusted ...
4
votes
0answers
406 views
Algorithms for predicting a couple points in the future
I'm familiar with supervised learning algorithms like regression and neural networks which look at a bunch of input points and learn a function which outputs a value (the value varying depending on ...
7
votes
5answers
7k views
How to check if a timeseries is stationary?
I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use?
2
votes
2answers
2k views
Calculating Portfolio Skewness & Kurtosis
I need to calculate the skewness and kurtosis of 2 asset portfolio, can someone please help me with the formulas and definition of terms? Thank you.
I have been using the matrices method and I am not ...
4
votes
0answers
362 views
Hasbrouck's information share
Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in
page 12-13 of this article.
page 7-8 of this article
I have the vector error ...
3
votes
3answers
613 views
How to normalize Futures data(different leverage) for cointegration test?
For example I want to construct 2 time series, one for ES and the other for NQ and test for cointegration.
ES one point equal to 50$.
NQ one point equal to 20$.
If I have the following data:
...
9
votes
2answers
315 views
How to “uncluster” a set of financial data?
I am attempting to evaluate and compare the profit factor of different "test runs" of a FOREX trading strategy.
My problem is that, despite an average time between orders of 2hr+, some of these runs ...
2
votes
0answers
212 views
What does T statistics of Information Coefficient indicate?
Hi I am looking for a clear explanation of T statistics concept. Especially in quantitative equity portfolio management context, what does T statistics of monthly Information Coefficient for one ...
5
votes
4answers
643 views
How to compute momentum from equity time series?
Let's say I have time series of stock prices for many stocks. What's the best way to sort the stocks based on which have been going up/stayed the same relative to others? Can this be done with a ...
5
votes
1answer
327 views
Applying models with normality assumption on tick data?
Beginner question. Having read a couple of papers and book chapters on high-frequency data forecasting, I'm surprised (and confused) that the same time series techniques can be applied to ...
7
votes
1answer
589 views
Why does the following data fail my cointegration test?
I have some closing price data for two Australian banks which track each other very closely.
http://dl.dropbox.com/u/12337149/stat/CBA.csv
http://dl.dropbox.com/u/12337149/stat/WBC.csv
Code from ...
10
votes
2answers
593 views
How to forecast expected volatility from high-frequency equity panel data?
I'm wading through the vast sea of literature on realized volatility estimation and expected volatility forecasting (see, e.g. Realized Volatility by Andersen and Benzoni, which cites 120 other ...
13
votes
1answer
365 views
What should be considered when selecting a windowing function when smoothing a time series?
If one wants to smooth a time series using a window function such as Hanning, Hamming, Blackman etc. what are the considerations for favouring any one window over another?
7
votes
2answers
394 views
Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia on a security-by-security basis with a medium term horizon (say 3 month to 12 months horizon)?
...
11
votes
2answers
924 views
How to update an exponential moving average with missing values?
Say you have an Exponential Moving Average being continuously updated over a time series using 1-second-long time periods. What should happen if there is no value for the next second, e.g. there were ...
6
votes
1answer
363 views
Are shorter holding period strategies better?
Consider two statistically identical strategies (identical information ratios, sample size, ratio of transaction costs to total profit, etc.) except that one has a much shorter average holding period. ...
17
votes
2answers
1k views
How much data is needed to validate a short-horizon trading strategy?
Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
7
votes
1answer
2k views
Time Series Regression with Overlapping Data
I am seeing a regression model which is regressing Year-on-Year stock index returns on lagged (12 months) Year-on-Year returns of the same stock index, credit spread (difference between monthly mean ...
2
votes
1answer
324 views
Techniques for forecasting short-frame data?
I'm having a problem in which a time series of 24 data points is given to forecast the next 12 data points. This 24 data points might be sparse (many are missing).
Do you have any suggestion on what ...
2
votes
1answer
100 views
How to reconstruct a discontinued economic time series such as the Fed's CP rate?
The old 3-Month Commercial Paper Rate (CP3M) on FRED was discontinued in 1997. I would like to reconstruct this series in a reasonable fashion, so I can use it to analyze more recent events.
I was ...
