A sequence of events measured at uniform intervals of time.
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 ...
7
votes
0answers
287 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 ...
4
votes
1answer
262 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 ...
2
votes
1answer
237 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:
...
8
votes
3answers
377 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
299 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 ...
8
votes
3answers
286 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
690 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 ...
7
votes
4answers
701 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
338 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, ...
9
votes
6answers
826 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 ...
10
votes
2answers
497 views
How to detect structural breaks in variance?
I'm looking for a method to automatically detect structural breaks, I tried Chow test, It
works good but it doens't work for breaks in variance.
Do you know a test to check strucutural break in ...
4
votes
2answers
139 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
403 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 ...
6
votes
2answers
2k views
How GARCH/ARCH models are useful to check the volatility?
Below a R code wrote by the moderator @richardh (whom I want to thank again) about ARCH/GARCH models.
...
7
votes
5answers
6k 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?
4
votes
0answers
350 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 ...
8
votes
2answers
683 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 ...
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 ...
3
votes
3answers
600 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:
...
2
votes
0answers
206 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 ...
7
votes
1answer
561 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 ...
5
votes
1answer
325 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 ...
11
votes
3answers
687 views
How to detect regime change when estimating asset correlation from historical time series?
Suppose I have two asset time series, $X_t$ and $Y_t$, and I'm estimating their correlation from historical data. I'd like to apply some systematic criterion to estimate what time window I should use ...
10
votes
2answers
586 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 ...
9
votes
2answers
312 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 ...
6
votes
1answer
361 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 ...
9
votes
3answers
399 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. ...
7
votes
2answers
384 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)?
...
2
votes
1answer
323 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
99 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 ...
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 ...
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 ...
5
votes
0answers
462 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
...
7
votes
1answer
429 views
What methods do I need to learn in order forecast asset price movements?
What are the standard models used to forecast asset price movements? For example, if I were to trade an option, what model would I use in conjunction with option pricing models to forecast the stock ...
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 ...
3
votes
1answer
991 views
How to estimate a multivariate GJR or TARCH model in Eviews?
How do I specify the GARCH/TARCH equation in Eviews 6 in the variance regressors frame, if I want to find out whether there are volatilty spillovers from stock markets A and B to stock market C?
P.S. ...
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 ...
12
votes
4answers
1k views
Are two identical time series cointegrated?
I did cointegration test on two identical time series, and the result shows that they are not cointegrated, but intuitively, I think they are.
Can anyone share some thoughts on this? Thanks!
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 ...
6
votes
1answer
397 views
How to annualize Expected Shortfall?
I have a time series with monthly data from which I compute the expected shortfall empirically, following the classical definition which can be found, for example, in wikipedia's definition.
That is, ...
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.
13
votes
3answers
2k views
Time-series similarity measures
Suppose I have two time series $X$ and $Y$ of stock prices. How do I measure the "similarity" of $X$ and $Y$?
(I'm being deliberately vague as I don't have a particular application, and I'm curious ...
13
votes
1answer
362 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
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 ...
4
votes
2answers
3k views
Are public historical time series available for ratings of sovereign debt?
The nice list of free online data sources Data sources online does not mention any data from ratings agencies.
Are historical time series available for sovereign credit ratings (other than as ...
2
votes
1answer
182 views
Picking from two correlated distributions
Can anyone provide a simple example of picking from two distributions, such that the two generated time series give a specified value of Pearson's correlation coefficient? I would like to do this in ...
5
votes
4answers
620 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 ...
