Qbik

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visits	member for	1 year, 3 months
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9 Questions

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9	Is a linear combination of GARCH processes also a GARCH process?
8	What is a commonly accepted econometric model for volume?
5	Problems with dealing with GARCH models and intra-day data
5	How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
3	Does the correlation amongst stocks rise when stock values decline?

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3 Answers

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4	What tools exist for order book analysis and visualization?
1	Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?
1	How do I graphically represent the evolution of a covariance matrix over time?

25 Tags

4 limit-order-book	2 correlation × 3
4 python	1 time-series × 4
4 r	1 covariance
4 software	1 random-matrix-theory
4 visualization	0 modeling × 3

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