A sequence of events measured at disrete points in time.

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219 views

Value Weighted Return

I recently have started to look at some data from CRSP, and they have a metric called Value Weighted Return (two versions with and without distributions). When I looked it up, it seemed that this ...
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369 views

Lagged dependent variable, yes or no?

I read conflicting opinions about the inclusion of lagged dependent variables in modeling, and I guess it is partly up to the researcher and depending on the scope and goal of the research. I'm ...
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121 views

How does one use the Johansen cointegration test in a linear time series model?

How does one use the Johansen cointegration test in a linear time series model? Should I only use normalized coeffients for interpretation? Or, once I know that the variables are cointegrated, do I ...
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60 views

How to interpret ACF and PACF plots

I just want to check that I am interpreting the ACF and PACF plots correctly: The data corresponds to the errors generated between the actual data points and the estimates generated using an ...
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45 views

Rule of Thumb for minimum length of time series for AR(1) estimation

I have a data set of 350 points, I want to estimate the lag 1 auto correlation for different sub-sets of the data. More precisely I want to take non overlapping windows of length 1,2,3....n and ...
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90 views

Stress Testing Methods

I'm working on the following task: Given quarterly data: a time series representing the 1-year realized (10 years of data) rates of default on a portfolio of mortgages a slew of ...
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102 views

Simulate non-stationary time series with cointegration

how can I simulate/generate two non-stationary time series (with unit root) so that they can be also cointegrated (using R or Matlab). Thanks in advance.
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59 views

Max Likelihood via Marquardt Optimisation

I asked a related question here: How to apply Levenberg Marquardt to Max Likelihood Estimation I tried the approach suggested it works for some of the parameters but not the variances. I spoke to ...
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172 views

how to compute daily skewness of S&P daily return timeseries under no other more high - frequency time series?

As we all know , return time series marked features: fat tail or negative skewness and peakedness. For a similar problem of variance computation, we can compute variance by garch model and other ...
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213 views

Test for stationarity and make use of non-stationary points in financial market?

I have two questions to ask: What are the best methods to determine stationarity in a financial market (such as stocks) using MATLAB? What methods would you recommend to use in order to change from ...
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460 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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115 views

Book recommendation for time series analysis

I have been trying to wrap my head around Engel-Granger test and jcitest etc. I have failed thus far. If possible can someone guide me about which books to start with and possibly reach to ...
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179 views

Time series analysis in Java

I'm looking for a library to do some time series analysis in Java but I can't find anything suitable. I've found plenty of libraries such as Math3 of JSAT but there's much I can you for my problem. As ...
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182 views

Should I analyze the tick data day by day?

Let assume that we have one month of tick data which were traded at NYSE. We want to model the price changes as a function of the last p lags of price changes and the last q lags of the time duration ...
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267 views

Modeling Financial Time Series

Price time series are not stationary. So we difference them and get the return time series, which are stationary. Does this mean, it is always a good idea to model only the return series of financial ...
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387 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 ...
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64 views

Exporting Time Series Data For Securities Prices From Bloomberg to Excel

I have a list of securities over a thousand entries long that I want to construct a time series of prices for over a specified historical period (e.g. 2/01/10-2/20/10). Doing this manually would take ...
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62 views

Identifiability for Time Invariant State Space Models

Kevin Murphy's Kalman Filter toolbox (for Matlab) contains an example where it's the fact that the state space system in not identifiable causes problems. I include the example in it's entirety but ...
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147 views

Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
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103 views

Fitting Egarch Model

I am performing a monte-carlo simulation in MATLAB for the first order EGARCH model in which case I am simulating 100 paths of size 500 assuming Gaussian and Student's-t distributions for the ...
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1answer
80 views

Can we model components in a set of multivariate multi-period time-series data?

There are N data sets in periods occurring weekly/monthly, across a 10-year historical timeline. In each period, five dates are observed (labelled a to e), where a denotes the day the period ...
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95 views

Modelling interest rate: AR(2) modelling

I have a time series of spread that follows an $AR(2)$ (Autoregressive model of Order 2). I need an interest rate model that represents that dynamics. What model should I use?
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215 views

Time-varying correlation via state-space representation and Kalman filter

Let a linear time-varying mode like this one: $y_{t}=\alpha_{t}+\beta_{t}x_{t}+\epsilon_{t}$. You can also suppress the constant term to simplify this example: $y_{t}=\beta_{t}x_{t}+\epsilon_{t}$. ...
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249 views

Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
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36 views

How to make a historical index of a group of materials in which the set of materials changes every month?

The question may sound simple however for the moment it is a brainteaser to get it right, let me explain: the exercise is to be done on +/- 200 groups of materials (matgroups) one matgroup can ...
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237 views

Simple EOD computations for tick data

As part of End-Of-Day calculations once a particular market/exchange has closed for all the tickers traded on that market one may typically compute the following properties: OHLC Bid/Ask Price ...
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40 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 ...
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133 views

Calculate the total returns from the total return index [closed]

I have the Total Return Index(RI) for several companies. I know that I can calculate the log retunrs with $ln(RI_t/RI_{t-1})$. Therefore my first guess would be to ...
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113 views

Converting time series returns into euro

I am trying to convert various series of returns into one currency (euro). I saw from aprevious post that soemone suggested using conversion factors, where would I find these? Also, given that the ...