# Questions tagged [time-series]

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

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15 views

### Computing the average deviation range in a mean reverting series

Given a mean reverting time series, what's the appropriate measure to use to compute the range it deviates by before reversion? Assuming normal distribution, taking standard deviations of the actual ...
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### Probability of a certain financial instruments movement

I want to calculate the probability of a certain financial instrument moving above or below a certain threshold within a certain time frame. Let's say up 0.5 % within the next 4 hours. If we assume ...
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### Looking for a measure of a simple Trend and Strength Indicator

I'm not literally a Quant but rather an analyst working in Process Control and I have a problem that I think could be solved with the Financial tools. Basically I have a matric called DPM (Defect Per ...
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### How to generate normalized factor scores for beta exposure

I'm working on building a time series momentum model (TSMOM) based on price alone for currency pairs. I'm implementing a paper that produces a buy/sell signal based on geometric brownian motion and a ...
74 views

### Moving Average Window Size Determination

Is there a "correct" way of determining a moving average window/smoothing parameter (or at least a starting guess for a financial time-series? I understand of course that in some sense, ...
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### Understanding Volume Bars Threshold

I have been reading Advances in Financial Machine Learning by Marcos López de Prado and came across different Bar types, and simulating Volume Bars from execution data myself. My understanding of ...
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### Continuous futures data roll adjustment

When I construct continuous futures data (Wheat futures for example), I get different results than barchart or tradingview. Examples below. The 1st image is my adjusted continuous data and the 2nd ...
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### [PYTHON - Create a For-loop for multiple regressions within the same/or different dataframe/s (Funds returns with fama french)

hopefully somebody can help me out, this is my first question on here. I have a dataframe with dates (Index) as the Y axis and the X axis (columns) hold all the dependent variables (target variables) ...
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### Fitting ARIMA + GARCH in R

I'm forecasting Electricity consumption Data. I have data for one year , so for every 15 minutes there is an observation. My data contains seasonality and I don't know how to fit SARIMA + GARCH into R,...
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### How can momentum trading strategies work if returns are not serially correlated?

Returns are demonstrably not serially correlated in most financial time series (Day 1 returns are uncorrelated to Day 2 returns etc.) . Since this is the case, how can momentum trading strategies work?...
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### Charting Annual Volatility From Start Date In a Line Plot

I'm pretty new to python/data viz and this is my first time asking a question on here but I have a df with monthly price data back to 2016 for 6 different instruments. I just want to be able to ...
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### I am getting an $\alpha=0$ in the GARCH(1,1) model. Is this normal and how must I interpret it?

I am running a GARCH(1,1) on return data. For some data sets, I am getting an $\alpha=0$ and a $\beta$ of 0.999. Is this normal? If so how should I interpret it? Here is my code, here j are daily ...
169 views

### Understanding out-of-sample performance metrics for Realized Volatility

I fitted several models on a realized volatility process and then proceeded to obtain out-of-sample results. I'm struggling to interpret these results apart from to tell model A seems better than ...
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### Bitcoin data (minutes time frame)?

Where can I find a correct data of BTC/USD with a minute time frame? I've downloaded a minutes data from this site I've compared (with the original one from the exchange Binance) the last day (from ...
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### Why is $Z_t$ uncorrelated with $X_{t-1}$ in $X_t=\theta X_{t-1}+Z_t$?

In a solution to the problem below, the teaching assistant solves it by calculating $\mathbb{E}[X_t^2]$ and ends up with also having to calculate $\mathbb{E}[X_{t-1}Z_t]$ after expanding the square. ...
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### How to annualize kurtosis of returns (in simple terms)?

I'm confused by this post on how to annualize kurtosis. I don't understand how to apply it to annualize the kurtosis for my data. In other words, if I evaluated the kurtosis of, say, monthly returns (...
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### Which Times Series Database framework for Python is best for portfolio optimization project?

I am starting to build a portfolio optimization algorithm in Python and want to structure a database to manipulate financial data. Although I have Python experience, I have never used SQL or such ...
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### 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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### 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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### 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 ...
42 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 ...
222 views

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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### 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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### 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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### 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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### 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 $h\in\mathbb{N}?$