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| visits | member for | 10 months |
| seen | Jan 6 at 12:24 | |
| stats | profile views | 4 |
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Jul 12 |
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Using rolling returns in a multivariate linear regression? I dont know any examples in matlab unfortunately, but I found plenty using R (my language of choice). You may find the series of blog posts at theaverageinvestor.wordpress.com/2011/04/14/… useful, and a number of trading strategies with code discussed at systematicinvestor.wordpress.com/?s=garch (for example, his use of rolling regression for factor analysis seems similar in principle to what you want to do.) Since you seem to be at the prototyping stage, might make sense to play around with some of these examples in R first. Hope this helps. |
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Jul 11 |
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Estimate price movement per unit of volume for daily data Thanks for the response @brian-b, its appreciated. Unfortunately my application relies on capitalizing on pricing anomalies caused by events on a daily timescale, so I need 1) to calculate a rough size that trades would/should have been, 2) factor market impact into the portfolio position optimization stage. Any other thoughts on how to best do this with OHLCV data? Cheers |
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Jul 11 |
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Using rolling returns in a multivariate linear regression? Alternatively you could look at including your predictors as exogenous variables in your ARMA process. |
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Jul 11 |
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Using rolling returns in a multivariate linear regression? Are you looking for practical examples of ARMA models in a language like R or more a theoretical explanation? By modelling the residuals I meant you first fit an ARMA model, then run predictions from this model and the residuals are the actual returns minus the predicted returns. You use the residuals (which if you choose your ARMA model correctly, should be free from autocorrelation) instead of the rolling returns in your model. Note: You will likely want to fit the ARMA model on a rolling window like you would a rolling mean. |
