A sequence of events measured at uniform intervals of time.
2
votes
3answers
419 views
How to annualize dividends paid at varying intervals?
I am attempting to write a function that will calculate the annualized rate of return for individual dividends made by illiquid investments. These dividends are paid at varying intervals and the ...
1
vote
2answers
277 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.
...
1
vote
1answer
421 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?
...
7
votes
0answers
293 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 ...
5
votes
0answers
171 views
Alternative ways to understand time-varying comovement between two time-series?
I have been looking into ways to better understand how the dependencies/correlations/etc between two time series can vary over time.
I first thought about using a Kalman/particle filter over a ...
5
votes
0answers
198 views
Can Hurst exponent be used to characterize nonlinear dependence in time series?
It appears to me that the answer is no, because Hurst exponent measures persistence in terms of autocorrelation, which is a linear measure. So even if a time series of asset returns is driven by ...
5
votes
0answers
473 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
...
4
votes
0answers
156 views
Asymmetric Volatility Modeling (Interpretation)
I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
4
votes
0answers
406 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 ...
4
votes
0answers
362 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 ...
3
votes
0answers
102 views
Is it random walk?
I would like to ask a question about random walk. Campbell, Lo & Mackinlay defined the random walk, in the following way (RW3):
$$
cov[f(r_{t}),g(r_{t+k})]=0,\qquad k\neq0
$$
for all $f(\cdot)$ ...
3
votes
0answers
111 views
Fitting a non linear AR + GARCH(1,1)-M model
I want to fit the following model to a time series:
$$
y_{t}=\alpha_{0}+\alpha_{1}y_{t-1}+\alpha_{2}y_{t-1}^{2}+\lambda h_{t}+\varepsilon_{t}
$$
$$
...
2
votes
0answers
29 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 ...
2
votes
0answers
59 views
Event studies using revenue data vs. measuring abnormal returns
This may be a silly question, but does there exist a methodology for examining the impact of "events" on companies that are not publicly traded? I suppose it would look at abnormal revenues rather ...
2
votes
0answers
53 views
Is there an appropriate sequence to tests during model diagnosis?
How should one order (sequence) the following tests?
Stationarity test
Johansen cointegration test
Normality/Histogram test
Autocorrelation test
Heteroskedasticity test
Multicollinearity test
...
2
votes
0answers
103 views
What are the proper metrics to look at for checking discrepancies in these two time series
I am obtaining bid/ask price and volume market data from two different sources for the same ticker and for the same day and checking to see that at time intervals X they are "roughly the same". The ...
2
votes
0answers
82 views
Difference between kappa and delta in mixed-effects model
(This question is a crosspost from Cross Validated)
I have a following stochastic model describing evolution of a process (Y) in space and time. Ds and Dt are domain in space (2D with x and y axes) ...
2
votes
0answers
212 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 ...
1
vote
0answers
137 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
vote
0answers
103 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 ...
0
votes
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 ...
