# Questions tagged [time-series]

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

746 questions
Filter by
Sorted by
Tagged with
77 views

### How to implement rolling granger causality

I am investigating two time series where the first is the daily closing stock price changes and the other is the daily changes in the PCE index. I want to investigate how much the PCE index explains ...
47 views

### Reasons for negative autocorrelation of forward prices

I am working on each trade day's forward prices of gasoline. I noticed that the autocorrelation at lag 6 is significantly negative. I know how to interpret negative autocorrelation in a statistical ...
57 views

### Regression taking in account size of earnings surprises

I'm trying to regress earnings surprises on variable x. However, absolute earnings surprises are mostly influenced by company total earnings and the number of shares outstanding. So I can't just use ...
• 13
103 views

### Forecasting VIX with GARCH(1,1)

Aim: Forecast VIX using GARCH(1,1) Reason: I want to be able to forecast VIX on several horizons, in order to be able to forecast the SP500 index through linear regression. Tools used: Python, ...
• 1
1 vote
75 views

### Application of Gramian Angular Field to financial series?

I found this method to represent time series to improve performance of some ML models, any thoughts about this method? some applications or use cases in financial markets?
254 views

### Daily realized volatility and true daily volatility

Can someone help if I am thinking correctly? If $R(t,i)$ is the i'th log-return for $i = 1\ldots,M$ of day $t$ for $t = 1\ldots,T$. Can I assume that the daily realized volatility (denoted $RV(t)$) is ...
1 vote
73 views

### Techniques for proxying time series / stock prices

What are some good techniques for proxying time series? My purpose is for risk management / modelling and I would like proxy to missing series. Given that I also have to account for volatility, ...
• 339
78 views

80 views

### Good (non-random walk) financial time series to perform forecasting on

I would like to start with a brief caveat, namely that I am by no means a domain expert in financial markets. Therefore the question I am asking may sound silly to a practitioner but I am asking it ...
1 vote
135 views

### An Intuitive Explanation of Multifractality in Financial Time Series

Can anyone please give an intuitive explanation of multifractality in financial time series? Most definitions I came across are either purely mathematical or not in relation to finance. As for the ...
• 295
76 views

### Information content of seasonally adjusted vs non-seasonally adjusted economic time series

I want to use the history of an economic time series to anticipate the behaviour of the economic variable. Let's suppose that I have monthly time series data for the past N months and I want to think ...
95 views

### database for economic & finance timeseries

I am looking for a technical solution to store economic and financial timeseries (nothing intraday for now, just daily/weekly/yearly) Most timeseries database I find do not seem to take into account ...
• 1,983
25 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 ...
36 views

### 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 ...
• 1
24 views

### 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 ...
1 vote
115 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, ...
• 279
1 vote
107 views

### 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 ...
• 165