Richard
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 Dec16 comment ARIMA model, cannot get rid of low order ACF spike I think you can order the book as pdf - it is definately worth the money. I bought it as paperback. As I see in the remark below your problem is solved ;) Dec15 comment Is this process predictable or not? You write "the other values of $\xi_t$ are given only when $S_{t−1}$ is greater than $S_{t−2}$". This is not true. The indicator function just means that $\xi_t$ is $1$ if $S_{t-1}$ is greater and $0$ else. This is well defined ... Dec15 comment Is this process predictable or not? I agree, if the process is properly defined, then at time $t-1$ we know $S_{t-2}$ and $S_{t-1}$ and thus $\xi_t$ - and that's it. Dec14 awarded Notable Question Dec11 comment ARIMA model, cannot get rid of low order ACF spike You difference the data once ... mabye there is something with using a constant as described in the chapter above ... Dec11 comment ARIMA model, cannot get rid of low order ACF spike What is the input data? Can you provide the values or a plot of the acf or pacf of the data? Here you find a chapter of the online textbook which I post in this forum nearly every second day. Dec10 comment Find the order of an ARMA model (q & p ) A very good approach can be found here: otexts.org/fpp/8/7 Dec10 comment Find the order of an ARMA model (q & p ) 2 Comments: 1st: I edited your question, I hope I got the meaning right. 2nd: you really take random p and q? In which range? If you don't know how to fit them then what about using simple models first (AR(1), ARMA(1,1), ...)? Dec10 revised Find the order of an ARMA model (q & p ) added 2 characters in body Dec9 reviewed Reviewed Skew in Black Scholes model Dec9 comment Skew in Black Scholes model Please use Tex for the formulas. Can you provide the chart or the code that produced the chart? Dec9 reviewed Reviewed What is a medium to low frequency trading strategy and why is it less hyped? Dec9 comment What is a medium to low frequency trading strategy and why is it less hyped? This is a very rudimentary answer. As it is your first answer here mabye you would like to improve it (e.g. using full sentences, references, ...) Dec9 answered Portfolio Optimization to include ALL Securities? Dec9 comment How to annualise the volatility of non-iid returns? I edited the question a bit. You do not annualise returns but you annualise their volatility. Dec9 revised How to annualise the volatility of non-iid returns? I added the word "volatility" Dec9 awarded Organizer Dec9 revised What do I need to do with my data before fitting the ARIMA model? edited tags Dec9 answered What do I need to do with my data before fitting the ARIMA model? Dec4 comment How to compute the historical VaR for a portfolio with long and short positions? Please clarify your question and correct the typing.