A sequence of events measured at uniform intervals of time.
1
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0answers
122 views
Stepwise Cointegration
This is more of a general question at this point, but if my thought process makes sense I will follow up with an R implementation. I have read a number of papers on cointegration analysis for pairs ...
1
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1answer
321 views
Predict Quadratic Trend in Time Series
Can anyone kindly point out if I made any mistakes in making predictions using quadratic regression model in time series? I called the predict() function with the appropriate data vector and model, ...
1
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0answers
97 views
Unsystematic/Idiosyncratic/Firm-specific volatility/variance in the market model?
I was asked to use idiosyncratic volatility as a regressor in a cross-sectional regression upon cross-sectional returns as the dependent variable. Returns can be thought of as the raw log stock return ...
1
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1answer
420 views
Oscillatory time-series forecasting
I was wondering if this mean(160)-reverting/oscillatory time series "SUM" can be considered chaotic & forecastable to some extend short-term?
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0
votes
1answer
150 views
Selecting timeframe for time series analysis
In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now.
Similarly, if we use time series forecasting methods to predict(say daily data-whether ...
0
votes
0answers
65 views
How can I cope missing data values with excel? or any other software? [closed]
I have to compute Amihud (2002) illiquidity measure for US stock market and I have some missing values in the time-series.
Many papers suggest to use linear interpolation for fitting missing values; ...
0
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2answers
244 views
Pairs trading: Question on non-negative profits, size of the positions and trading signals
I'm trying to backtest Pairs Trading but have become a bit confused on the different methods of selecting pairs, how to look for trading signals and what size of the positions to take in the assets.
...
0
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0answers
36 views
The observed negative interest rates should be modelled as the observed positive ones?
The presently observed negative interest rates for the recently emitted negative interest bonds by France, etc seem to increase in magnitude with the term. This might suggest that their modelling is ...
0
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0answers
35 views
Inferring Returns From Minimal Data Points [duplicate]
Possible Duplicate:
How much data is needed to validate a short-horizon trading strategy?
Suppose I have daily returns for a trading strategy against one month of data. Before starting ...
-4
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0answers
38 views
Comparing Investments: Selling land vs. starting a business [closed]
I have a situation where I need to compare some investing alternatives.
We and my partners own a piece of land with high commercial value, that was bought 7 years ago. Now the real estate market ...
