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Dec
19
comment Time series price prediction and linear regression: using high/low rather than last quotes price
One problem I have with VWAP data is that for some intervals (1 minute in my case) the asset hasn't traded at all. I could discard those observation from the study, but I actually see quotes mean reversion as a validation of the hypothesis.
Dec
19
awarded  Scholar
Dec
19
accepted Time series price prediction and linear regression: using high/low rather than last quotes price
Dec
19
comment Time series price prediction and linear regression: using high/low rather than last quotes price
Yes, the question is "shouldn't we use high/low?".
Dec
19
revised Time series price prediction and linear regression: using high/low rather than last quotes price
Question about High/Low price only
Dec
19
revised Time series price prediction and linear regression: using high/low rather than last quotes price
Split original question in several part. Part I here.
Dec
18
comment Time series price prediction and linear regression: using high/low rather than last quotes price
Alright, let's make it simple and I will walk you through: in time series analysis, be it ARIMA or any other forecasting model, what is the generally used observed value Y in the regression? If the answer is the last available differenced price at time t1 for the continuous process, why is that? Why not to regress against the differenced high or low price for the period t0-t1? And why to close the question anyway, other people might provide more specific critique than general "confused" comments.
Dec
18
awarded  Editor
Dec
18
revised Time series price prediction and linear regression: using high/low rather than last quotes price
added 443 characters in body
Dec
18
comment Help With Quant Modelling Software
Dean, you can start from this forum to gain an understanding of the tools and skills used in the industry: low-latency.com (I have no affiliation with the website).
Dec
18
awarded  Student
Dec
18
asked Time series price prediction and linear regression: using high/low rather than last quotes price