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seen Jul 1 '13 at 13:53

Mar
18
awarded  Commentator
Mar
18
comment Kolmogorov-Smirnov test
From my point of view, efficient means normal distribution and randon walk.
Mar
18
comment Kolmogorov-Smirnov test
Ok and then let's asssume that your time series has passed Kolmogorov-Smirnov test for normal distrubition, and then you manage to proove that the underlying process is a random walk (for example with Hurst Exponent Analysis) is that sufficient?
Mar
18
asked Kolmogorov-Smirnov test
Mar
8
comment Predict Market Direction, What is forecastable/unforecastable?
The article argue that volatility dynamics drive sign dynamics. Indeed, if Rt is normally distribued For a given mean return, m, the probability of a positive return is a function of conditional volatility. As the conditional volatility increases, the probability of a positive return falls
Mar
8
comment Predict Market Direction, What is forecastable/unforecastable?
Lol, i'm far from school from now even if i wish you were true about it. The reason of my question is follwoing this article jonathankinlay.com/index.php/2009/07/… that's arguing that sign is predictable while i ever heard that sign is not forecastable
Mar
8
asked Predict Market Direction, What is forecastable/unforecastable?
Mar
8
comment Improving GARCH modeling approach
Thanks for your commentary. I want to make sure everything is clear for me. In part 2 "Serial Correlation", in the second paragraph about "ARMA", do you suggest to skip GARCH for ARMA or do you suggest to build a model with both?
Mar
7
awarded  Student
Mar
7
comment Improving GARCH modeling approach
Thanks for your work chris
Mar
7
asked Improving GARCH modeling approach
Mar
7
awarded  Editor