Questions tagged [time-series]

A temporal sequence of events measured at discrete points in time.

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-2
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0answers
27 views

Serial correlation or autocorrelation of a time series itself

How we can check the autocorrelation or serial correlation of the original time series not for its residuals? Is there any test for this? Thank you Priya
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1answer
73 views

What is a cumulative return series?

I guess this is pretty easy but I cannot find a definition anywhere. I am trying to reproduce a paper and they say they use a cumulative return series at some point. Does anyone know exactly what this ...
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44 views

What do I need the Error correction model for in the two step Engle Granger approach (bivariate Cointegration)

could someone kindly explain what I need the ECM for in a bivariate Cointegration test? I am currently trying to reproduce the results of Rad et al. (2015): "The profitability of pairs trading ...
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31 views

How to calculate price and volume samples of a multi-product series?

I am reading Marcos de Prado's Advances in Financial Machine Learning. In a section titled "the ETF Trick", he explains how to calculate periodic price and volume samples for a basket of ...
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1answer
39 views

Converting timeframe of a time series

So I've encountered a problem - I have a lot of 1 min data, but my strategy works better on longer timeframes and backtrader has some problems with backtesting on 1 mln rows. I want to convert it to ...
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1answer
205 views

Trading a Bouncy Stock

I came across the following question and am trying to understand it better. I was hoping you could share your intuitions. For a given stock, you are certain that for the next 100 days, it will move ...
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1answer
32 views

in time series analysis or finance people use log return for inference but returns can take negative value [closed]

in time series analysis or finance people use log return for inference but returns can take negative value. but log cant take negative values. so why we use it when log is not defined on most of ...
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2answers
379 views

Proof of the fact that roots lie outside the unit circle guarantee stationarity of the time series

For an AR(p) process $$\begin{align} y_t &= \mu + \phi_1 y_{t-1} + \phi_2 y_{t-2} + \cdots + \phi_p y_{t-p} + \epsilon_t \\[4ex] &y_t (1 - \phi_1 L - \phi_2 L^2 - \cdots - \phi_p L^p) =\mu + \...
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1answer
83 views

Prediciting outperformance - choice of statistical design?

I want to predict relative outperformance between a stock and an associated benchmark index using statistical time-series models (e.g. ARIMA) and some exogenous variables (day of the week, corporate ...
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2answers
142 views

GARCH(1,1) parameter estimation optimization method

In estimating a GARCH(1,1) model, $$\sigma_{t+1}^2 = \omega+\alpha \epsilon_t^2+\beta\sigma_t^2$$ Usually the parameter tuple $(\omega,\alpha,\beta)$ is estimated by the quasi-maximal likelihood. ...
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1answer
66 views

GARCH parameter estimation by linear regression?

In estimating a GARCH(1,1) model, $$\sigma_{t+1}^2 = \omega+\alpha \epsilon_t^2+\beta\sigma_t^2$$ Usually the parameter tuple $(\omega,\alpha,\beta)$ is estimated by the quasi-maximal likelihood$. Can ...
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51 views

Compare portfolio returns across time dimension

I've designed a trading strategy and would like to understand whether the return profile for it differs for the trades implemented before and after the Covid pandemic. Specifically I would like to ...
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1answer
108 views

Quantative way to evaluate divergence and convergence between time series

Given, for example, two time series asset price and its associated relative strength index (RSI), what would be the quant way to evaluate convergence or divergence on a rolling-window basis? I'm ...
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15 views

Calculate series of cashflows based on a fixed value for their difference in net present value

I have two time series of cashflows, one for renting a building and one for buying it. Normally I calculate the net present value for both cashflows and then calculate their difference. I do this for ...
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150 views

Current research in price prediction

I am returning to studying the markets after ten years spent in banking. I would like to ask for directions, what approaches to price prediction are currently used - I want to catch up quickly. Papers ...
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163 views

Markov Switching Vector Autoregressive (MSVAR) and Markov Switching Dynamic Stochastic General Equilibrium (MSDSGE) Models

I want to reproduce the results of Bianchi et al (2017) Escaping the Great Recession using R and/or Python. Authors in the ...
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1answer
104 views

Simple Blockbootstrap instead of CircularBlockBootstrap

I am currently trying to Block-Bootstrap my Stock-return data in Python. I am doing that to generate synthetic data. I came across the CircularBlockBootstrap but found in a few discussions here that ...
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2answers
105 views

Trouble Calibrating a Vasicek Model

I have simulated some data according to a Vasicek process and I am then trying to apply ordinary least squares (OLS) regression analysis to see how accurate the estimated model parameters are from the ...
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1answer
43 views

Find best linear predictor of $X_2$ given $1, X_1$

I'm having a problem calculating the best linear predictor of a time series. I'm using the book Brockwell-Davis 2016 - Introduction to Time Series and Forecasts. First let me write down one notational ...
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1answer
239 views

Realized Variance (realized volatility)

I'm confused about realized variance. I roughly know the theory around Ito Calculus and quadratic variation and integrated volatility so I understand what realized variance measures (even though as ...
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22 views

SVAR, seasonality adjustment and impulse response functions

My question might be slightly dumb, however I could not find out which choice would be better. I am trying to construct a SVAR model including the french inflation rate, the unemployment rate and the ...
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1answer
141 views

Are return time series ergodic?

It seems intuitive to me that return time series would be ergodic. Is there a test statistic that I can use to check this? Would this be affected by sampling rate? One way I can think of checking ...
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2answers
159 views

Statistical methodology for proving the stability in time of asset allocation weights

I am comparing the set of weights obtained by the classical Markowitz allocation process with those of another asset allocation technique I have devised. Markowitz's weights are unstable, as the ...
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24 views

FamaFrench, FamaMacBeth or Panel regression?

I hope my question is not extremely trivial. I want to analyse the performance of mutual funds using the Fama-French model. My dependent variable is the return of mutual funds (varying over time and ...
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1answer
47 views

Show that $\text{Cov}[X_r,X_s]=\text{Cov}[X_{r+h},X_{s+h}]$ for $X_t=a+bZ_t+cZ_{t-2}.$

Problem: Let $\{Zt\}$ be a sequence of independent normal random variables, each with mean $0$ and variance $\sigma^2$, and let $a$, $b$, and $c$ be constants. Is $X_t=a+bZ_t+cZ_{t-2}$ a (weakly) ...
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1answer
71 views

Bad plots in python, good plots in excel

I am wondering if you could solve the mystery about why matplotlib / seaborn give me a line plot of the IBM stock price, which is terrible as you can see below, with some vertical lines that are of ...
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2answers
139 views

Show that $Y_t$ and $Y_{t+h}$ are independent if $X_t$ is Gaussian

If $Y_t=\sum_{i=0}^qa_iX_{t-i}$ where $X_{t-i}$ is Gaussian with mean $\mu$ and variance $\sigma^2$, how do I show that $Y_t$ and $Y_{t+h}$ are independent (for $|h|>q$) using the joint pdf. I know ...
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2answers
150 views

Question about slides in lecture note: What if we can't assume $\mu=0?$

The question popped up when I was reading these lecture notes online. Consider the MA$(1)$ process given by $X_t=W_t+bW_{t-1}$ where $W_t$ is white noise distributed with constant variance $\sigma_W^2....
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1answer
63 views

Estimating distribution of rate of return

Let $f[t]$ be the price of a stock at time $t$. We can calculate the rolling rate of return of the stock in a window of length $n$ by computing: $$r[t] = \frac{f[t] - f[t-n]}{f[t-n]}$$ $r[t]$ is ...
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46 views

CAPM: Testing for alphas jointly equal to zero

For my project, I need to assess if a certain factor X leads to a CAPM-Anomaly. First, I sorted the monthly stock return (sample size: 500+ observations) according to the X factor in 10 decile ...
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1answer
86 views

Show that $\text{Cov}[Z_t,Z_{t+h}]=\text{Cov}[Z_s,Z_{s+h}].$

Problem: If $X\sim\text{WN}(\mu,\sigma^2).$ Let then $Z$ be the process defined by \begin{equation} Z_t=\sum_{i=0}^na_iX_{t-i} \end{equation} for some coefficients $a_1,...,a_n\in\mathbb{R}$ with ...
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59 views

Is the mean of a stationary timeseries the same everywhere?

Say for example I have the white noise process $Y_t\sim\text{WN}(\mu,\sigma^2)$. Is it true that $\mathbb{E}[Y_t]=\mathbb{E}[Y_{t-h}]$, where $h\in\mathbb{N}?$
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48 views

How to compare or prove economic/statistical similarities between two models with differing independent and dependent variables?

I have two datasets: The relationship between Bitcoin prices and other cryptocurrencies. The relationship between EUR prices and other currencies. What would be the most appropriate way to prove ...
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45 views

Calculation of Expected Shortfall using IMA Approach ( FRTB)

I am trying to calculate the Expected shortfall of a FX portfolio through IMA Approach of FRTB in excel . I have used several combinations in excel to get the liquidity horizons and then calculate the ...
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31 views

Hedonic regression to create an index?

I’m having a hard time understanding how hedonic regression can be used to create an index. Hedonic regression seems to simply be multiple regression by a different name, correct? We have several ...
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1answer
137 views

Backshifting Price Timeseries with Memory Preservation

In Advances in Financial Machine Learning the author makes a case for fractionally differentiated price returns in chapter 5. The reason is to both maintain memory and to generate a stationary time ...
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78 views

Understanding GARCH

I asked this on stats.stackexchange but I realized this might be a better place to ask this question. I am new to finance and volatility forecasting and am trying to understand how garch model works. ...
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50 views

Variance ratio test and ADF test for random walk

I am trying to use both ADF test and variance ratio test for random walk. However, the ADF test tells me my financial time series contains unit root, but variance ratio test (lo-mackinlay) rejected ...
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54 views

Do I use % return, log return or diff of prices to plot ACF?

I am reading a book on time series. To make a non-stationary series stationary, sometimes we need to difference the series. When it comes to finance, prices are non-stationary. Many authors fit ARMA ...
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1answer
104 views

How are the values of the ARMA process linked in python

In the code below, you can see that 'ret' is an ARMA process, and I am trying to see how the ret[0], etc... ret3, ret4, etc. are linked to each other, and although I know the formula for the ARMA ...
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59 views

weekly returns and the daily returns scaled to weekly

I am new in this blog and first of all I want to apologise for my english. I have to calculate, for a university project, the weekly returns and daily scaled returns to weekly for few stocks For ...
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40 views

Calculating the downside correlation between two time series

If I have two financial time series and I want to calculate the correlation between them when series1 gives me a negative returns, would that be as simple as picking only those periods where series1 ...
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22 views

Year on Year growth percentages vs share price returns

Say I have 2 time series A and B. A is a time series of year-on-year growth numbers at quarterly intervals (I don't have the index levels). For example a data point as at 30-Sep-20 of +17.7% ...
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29 views

Price Prediction Intervals from Forecasted Returns (ARIMA)

I have successfully fit an ARIMA model to a time series of the daily returns of power futures prices. The question I have is: How can I create a prediction interval for the prices? Or, alternatively, ...
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1answer
109 views

Is there a HAR that deals with the leverage effect?

The EGARCH is a special GARCH model that treats the leverage effect of the volatility. The HARV does not make a distinction between negative and positive returns. Is there a special HARV that deals ...
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67 views

Forecasting returns and volatility using ARIMA-GARCH model in R

I am using rugarch package in R to forecast returns and volatility of a stock. I train an ARIMA (p ,d q) + GARCH(s, r) model on ...
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40 views

What does p-value adjustment under FWER do?

The background is I am predicting a time series with three strategies, the hypotheses is the strategies have a non-zero Sharpe ratio. I am reading Backtesting, by Campbell Harvey and Yan Liu paper in ...
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0answers
58 views

Electricity Futures Risk Premiums With ARIMA

I am attempting to model long-term electricity prices using today's futures prices. Unlike most futures, electricity is delivered over a period of time (usually a month), rather than at a point in ...
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37 views

High Frequency financial data [duplicate]

I really need high frequency data for my thesis. The data should contain the following columns: Time with format: yyyy-mm-dd h:mm:ss; Price; Bid price; Ask price; Bid volume; Aks volume; volume I ...
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30 views

How to merge two sets of timeseries together while maintaining the same returns?

I have a question about merging two sets of timeseries without causing much havoc. I have to merge dataset 1 into dataset 2. Problem is: The levels are different. (Ex: dataset 1 is moving between 2 - ...

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