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  • 16 votes cast
Nov
6
comment Application of time series analysis to Bitcoin prices
If I were you I would check in the first place leading indicators for the BC price. For example see the paper main drivers for BC price. In the next step, conduct a variable selection process and check, which variables are the best to use in your model. Finally, I would select my time series model based on these characteristics. For example you could start with damped exp. smoothing, if if you detect a strong trend in your dependent variable or check out a multiple regression model. Finally, you could also use comb. forecasting to get a better result.
Nov
2
comment Where can I find Value at Risk & Expected shortfall for ETF's?
I do not think that yahoo finance provides this information at all.
Oct
27
comment Stressing the going up of LIBOR - Which balance sheet variables to stress?
So basically correlate these two variable? Please clarify how to do that?
Oct
27
comment Stressing the going up of LIBOR - Which balance sheet variables to stress?
You can then model the relationship between LIBOR and those variables., what do you mean by that specifically? How would you do this?
Oct
27
comment Risk-adjusted performance measurement: Log returns vs. simple returns and geometric vs. arithmetic mean return
If I were you I would calculate both and then compare them, f.ex. by their Sharpe Ratio.
Oct
27
comment Define polynomials of an ARMA process
Shouldn't this polynomial always start with 1? Why? What`s your reasoning for this assumption?
Oct
22
comment Building predictive model for closing price using only previous days data
@Jojo I am not sure what you are doing. I guess with bar you mean candlesticks. It is unclear to me how you would forecast the closing price of the day $t+1$ from the candlestick at $t$. What is your model about? As user32416 pointed out your approach sounds like technical analysis. Furthermore, why are you assuming a log norm distribution? Have you tried to plot your model output f.ex. as a simple histogram? Please clarify before we can help you in detail!
Mar
31
comment What are the different Credit Portfolio Management models and what are their advantages?
@Quantopic Thx for your reply! I am focusing with my question on portfolio management.
Mar
27
comment What are good online resources for credit portfolio managers?
@Quantopic Thx for your reply! If free or not, it does not matter ;). However, I guess many would prefer something close too free.
Dec
30
comment Calculate the total returns from the total return index
Thx for your answer! Is it possible to do an event study by taking the Total Return Index to calculate the total returns and compare them to a stock index such as the dax(assuming that I calculated the total returns for the dax)?