Questions tagged [time-series]

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

Filter by
Sorted by
Tagged with
50 votes
4 answers
8k 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 ...
Tal Fishman's user avatar
  • 13.4k
82 votes
9 answers
39k 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 ...
Karol J. Piczak's user avatar
32 votes
6 answers
20k 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 ...
user40's user avatar
  • 2,687
18 votes
6 answers
3k 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 ...
Suminda Sirinath S. Dharmasena's user avatar
63 votes
6 answers
30k 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 ...
Joshua Ulrich's user avatar
30 votes
4 answers
10k views

What is a stationary process?

How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
user40's user avatar
  • 2,687
20 votes
8 answers
37k 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?
Dam's user avatar
  • 201
13 votes
6 answers
18k views

Are public historical time series available for ratings of sovereign debt?

The nice list of free online data sources What data sources are available online? does not mention any data from ratings agencies. Are historical time series available for sovereign credit ratings (...
András Salamon's user avatar
6 votes
2 answers
499 views

Why not use a time series regression when the factor is not a return?

I am trying to wrap my head around the statement that time series regression should not be used for testing a factor model when the factor is not a return. This has been mentioned in multiple posts, ...
Richard Hardy's user avatar
3 votes
2 answers
2k views

Does the unconditional variance implied by a GARCH equal the sample variance?

In the MATLAB default settings for GARCH estimation they say "presample conditional variance is the sample average of the squared disturbances of the offset-adjusted response data y". Am I right in ...
Kondo's user avatar
  • 449
3 votes
2 answers
3k views

Choosing the right statistical test for Mutual Fund Performance Evaluation

How do you suggest I do this? I would like to perform a statistical test to check if: the aggregate alpha of all funds equals 0. the aggregate beta of all funds equals 1. Data Sample of 1000 mutual ...
user28909's user avatar
  • 488
53 votes
8 answers
28k 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 ...
user672's user avatar
  • 781
24 votes
4 answers
7k 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.
RockScience's user avatar
  • 2,003
22 votes
2 answers
4k views

Is there a standard method for getting a continuous time series from futures data?

I would like to be able to analyse futures prices as one continuous time series, so what kinds of methods exist for combining the prices for the various delivery dates into a single time series? I am ...
kaybenleroll's user avatar
9 votes
1 answer
1k views

Why is the GARCH intercept supposed to be strictly positive?

Maybe it's a simple question but I don't really understand why it is theoretically required. Let's take the standard GARCH(1,1) $$\sigma^2_{t+1}=\omega+\alpha\epsilon^2_{t}+\beta\sigma^2_{t}$$ In most ...
Kondo's user avatar
  • 449
4 votes
1 answer
2k views

Realized Variance (realized volatility)

I'm confused about realized variance. I roughly know the theory around Ito Calculus and quadratic variation and integrated volatility so I understand what realized variance measures (even though as ...
s5s's user avatar
  • 452
4 votes
1 answer
646 views

Daily realized volatility and true daily volatility

Can someone help if I am thinking correctly? If $R(t,i)$ is the i'th log-return for $i = 1\ldots,M$ of day $t$ for $t = 1\ldots,T$. Can I assume that the daily realized volatility (denoted $RV(t)$) is ...
user62408's user avatar
3 votes
1 answer
351 views

Is there a HAR that deals with the leverage effect?

The EGARCH is a special GARCH model that treats the leverage effect of the volatility. The HARV does not make a distinction between negative and positive returns. Is there a special HARV that deals ...
Hans's user avatar
  • 2,806
1 vote
1 answer
468 views

Understanding out-of-sample performance metrics for Realized Volatility

I fitted several models on a realized volatility process and then proceeded to obtain out-of-sample results. I'm struggling to interpret these results apart from to tell model A seems better than ...
s5s's user avatar
  • 452
92 votes
10 answers
52k views

Building Financial Data Time Series Database from scratch

My company is starting a new initiative aimed at building a financial database from scratch. We would be using it in these ways: Time series analysis of: a company's financial data (ex: IBM's total ...
mountainclimber11's user avatar
31 votes
9 answers
39k 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. ...
dizzy's user avatar
  • 571
23 votes
6 answers
69k views

How to fit ARMA+GARCH Model In R?

I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...
Add's user avatar
  • 1,397
17 votes
4 answers
8k 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 ...
Pasha's user avatar
  • 171
16 votes
5 answers
3k 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!
user avatar
16 votes
1 answer
11k 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 ...
Vishal Belsare's user avatar
14 votes
1 answer
23k views

How to calculate the conditional variance of a time series?

I am reading a paper where the term conditional variance is mentioned, but I am not really sure what is meant by this and how this can be calculated: Fig. 2 shows the conditional variances of the ...
Mark80's user avatar
  • 141
14 votes
5 answers
6k 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 ...
Tal Fishman's user avatar
  • 13.4k
14 votes
2 answers
22k views

GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about predict in the ...
math's user avatar
  • 1,718
6 votes
1 answer
1k views

Ornstein versus AR(1) for modeling stationary data

I've come across several posts regarding parameter estimation for O-U models given some stationary data (say, some sort of mean reverting spread), but I can't seem to find an answer as to why modeling ...
RA334's user avatar
  • 344
6 votes
1 answer
11k views

detecting and measuring lead lag effect

Given two time series data. I remember there is one statistics that tells you one is the leading factor while the other is the lagging factor. However, i do not remember the exact details. correlation ...
Decipher's user avatar
  • 113
3 votes
3 answers
4k views

Handling Missing values in stocks returns when estimating the co variance matrix

What is the best way to handle missing values when stocks did not exist for the entire historical period?.
user3481555's user avatar
2 votes
1 answer
181 views

GRS test does not reject a nonsense factor in place of the market factor

I have been playing with the GRS test (see my R script below) in relation to Why not use a time series regression when the factor is not a return?. I generated a $630\times 26$ matrix of returns on 25 ...
Richard Hardy's user avatar
1 vote
0 answers
43 views

GRS test does not reject a scalar multiple of the market factor

I have been playing with the GRS test (see my R script below) in relation to Why not use a time series regression when the factor is not a return?. I generated a $10,000\times 26$ matrix of returns on ...
Richard Hardy's user avatar
75 votes
8 answers
33k views

Is R being replaced by Python at quant desks?

I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
Matt Wolf's user avatar
  • 14.4k
49 votes
5 answers
10k 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 ...
Tal Fishman's user avatar
  • 13.4k
25 votes
2 answers
3k 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? ...
Joshua Chance's user avatar
19 votes
6 answers
23k views

Why non-stationary data cannot be analyzed?

Searching online, i found out that non-stationary cannot be analyzed with traditional econometric techniques as in case of non-stationarity some basic model assupmtions are not met and correct ...
Ice's user avatar
  • 407
19 votes
2 answers
6k 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 ...
Steve Severance's user avatar
18 votes
2 answers
2k 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 papers,...
Tal Fishman's user avatar
  • 13.4k
14 votes
1 answer
5k views

Volume or Dollar bars vs. volatility normalized and demeaned financial time series

In his book - Advances in Financial Machine Learning, Marcos Lopez de Prado familiarises the reader with a number of ways of normalizing our financial time series data. Below I provide a couple of ...
Newskooler's user avatar
14 votes
2 answers
563 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?
Qbik's user avatar
  • 1,018
12 votes
1 answer
1k 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 ...
deltanovember's user avatar
12 votes
2 answers
1k views

GARCH model, expectation of volatility?

Consider a time series $\{r_t\}$ following a standard GARCH(1,1) model, i.e., $$ r_t = \sigma_t \epsilon_t,$$ where $\epsilon_t \sim N(0,1)$ and are i.i.d, and $$\sigma_t^2 = \omega + \alpha_1 r_{t-1}^...
vitaly's user avatar
  • 121
11 votes
2 answers
499 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 ...
Mike Furlender's user avatar
10 votes
3 answers
771 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 ...
vonjd's user avatar
  • 27.4k
10 votes
1 answer
11k views

How to find the formula for the half-life of an AR(1) process (using the Ornstein–Uhlenbeck process)

Using the Ornstein–Uhlenbeck process, I want to prove the half life formula for AR(1) is $$\text{HL}=-\log\left(\frac{2}{ \lambda}\right)$$ I have Ornstein–Uhlenbeck process defined as $$dx_t=\theta(...
Michal's user avatar
  • 711
9 votes
2 answers
1k views

What machine learning method is more suitable for prediction of financial time series?

I have time series data for various assets and which I transform to create various features. I have framed the problem as a classification task where I attempt to predict either a positive or negative ...
Hossein Abedi's user avatar
7 votes
2 answers
4k views

Value at Risk for Futures Contracts

I would like to know how you would compute Value at Risk on a portfolio of futures i.e rates futures, commodity futures and equity. How do you deal with the discontinuous form of commodity futures for ...
Sitingbull's user avatar
7 votes
2 answers
8k 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. ...
Dail's user avatar
  • 389
7 votes
2 answers
7k 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 ...
Richard's user avatar
  • 87