# Tagged Questions

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

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### 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 Problem:...
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### How to estimate variance-covariance matrix of assets with different length of historical data? [duplicate]

Consider you have 4 assets A, B, C and D, where Asset <...
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### 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 P(xi)*...
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### 2-step estimation of DCC GARCH model in Python

Embedded in this thread are multiple questions. I'm currently im the process of implementing a DCC GARCH forecast model on quantopian (a python-powered trading platform). The two step consists of ...
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### 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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### 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)) ...
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### 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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### 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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### 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 ...
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### 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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What are the most common ways to model intraday trading volume, particularly for futures contracts? There are obviously a number of seasonal-type factors, like roll, economic news releases, time of ...
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### predict next day's close price using hmm

I am reading this paper(Stock market forecasting using hidden Markov model: a new approach) and get confused about how they predict the next day's close price. Below is what the authors say about how ...
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### 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 ...
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### 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 ...
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### Filtering out AR(1) effects before using stochastic volatility model

I wonder if I first filter out AR(1) (autoregressive model with lag 1) effects from univariate time series and then fit stochastic volatility model does above procedure introduce any bias at first or ...
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### 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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### compute technical indicators from candle data

i have a rookie question but can't find the answer anywhere so..what is the right way to compute a simple moving average when you have an array of (open,close,low,high) tuples ? From what i saw so ...
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### 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 ...
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### 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 bid/...
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### 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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### 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 ?
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### Relationships between white noise and random walk

I would like to ask 5 questions about relations between these processes. 1) Could white noise be also a random walk? 2) Could random walk be also a white noise? 3) Could white noise be stationary? ...
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### R: Fast and efficient way of running a multivariate regression across a (really) large panel (First pass of Fama MacBeth)

I am attempting to run a rolling multivariate regression (14 explanatory variables) across a panel of 5000 stocks: For each of the 5000 stocks, I run 284 regressions (by rolling over my sample ...
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### Bloomberg tick data timezone offset

I am using python to access the Bloomberg Desktop API and am running into issues with the timezone conversion for their tick data. The data they deliver is supposed to be UTC but there is something ...
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### Time series analysis on illiquid price data?

Say for example I have the following company in some specialized industry: A - Company that is about to be listed in Exchange 1, i.e., no price history B - Company that produce similar products as ...
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### Cointegration tests: how do you accurately test the necessity of time trends in the Johansen and Engle-Granger Test?

Is there a correct and up to date procedure? I just run the equation in VEC form and test the significance of the time trends? What are the possible problems that I should be aware of?
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### Machine learning to build top 3 price scenarios over n days

I have a time series of closing prices for a given stock. I would like to formulate possible future scenarios for the price. My intention is not to use these "likely" scenarios to take any position. ...
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### Regressing NYSE returns: Lagged intercept term & efficient market hypothesis

By performing the following OLS time series regression, $y_t$ = $\beta_0$ + $\beta_1$*$y_{t-1}$ + $\beta_0$*$y_{t-1}^2$ + $\epsilon$ I cannot reject the null hypothesis that b1=b2=0. However, ...