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Questions tagged [time-series]

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

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1answer
39 views

Calculating and visualising the future value of 100USD invested in fixed income securities and bonds in R

I have uploaded TB3MS to R and would like to visualise the future value if i invest 100USD in it. The interval is from 2014 to 2019, monthly frequency. I would like it to be comparable to a plot i ...
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0answers
57 views

Annualizing Sharpe Ratio using small time frames

I have coded a strategy that works 5m time frame. I know you multiply it by 252 but i am using 5m or sometimes 1h time frame. Which number do i have to chose to multiply? There are 72576 five minutes ...
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0answers
23 views

Coming up with a statistic that is responsive to changes in a time series, yet not too volatile

Let's say I have a fairly volatile time series $X_t$ - it doesn't have any reason to show an upward / downward trend, but it does show drops and spikes from time to time. It can also change level (e.g....
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1answer
40 views

How to get formulas for EWMA model with M-day records

Given following formula in exponential weighted moving average (EWMA) model i: stock i t: time t rit: actual return for stock i at time t If we only know latest M-day situation, how can we derive ...
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1answer
184 views

Determining if a time series is random

I originally posted this in the Data Science Stack Exchange. Another poster suggested I post it here. The idea would be to identify "orderly" segments within a market time series and use them to ...
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0answers
27 views

Clusters evolution over time

I have a dataset of stock prices and I want to group stocks that share similar characteristics together using cluster analysis. I'm interested in following the evolution of each cluster over time, but ...
6
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1answer
80 views

Error message when backtesting GARCH in R

I am trying to backtest my ARCH model using ugarchroll from rugarch package in R, but I am getting this warning message ...
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0answers
96 views

Why OLS in Fama French time series regression?

I read many papers on asset pricing and have some basic doubts regarding Fama French Time series regression: We have time series data, but still it is a simple OLS we run in FF model. Then why it is ...
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0answers
31 views

How can I estimate a dynamic GARCH model using a Kalman filter methodology in R or MATLAB?

Does anyone know of any R or MATLAB packages for estimating GARCH models using Kalman filtering or any other state-space methodology? I would like to estimate a GARCH so that not only the variance, ...
2
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1answer
85 views

time series data modeling for deep learning

what is the best format to feed the input data, which are time series with varying density over time, to a deep learning network, while at any iteration we want to feed a batch of data including a ...
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0answers
45 views

Combining SARIMA and GARCH model for prediction in python

I need to understand the concept of combining (S)ARIMA and (G)ARCH model for the predicting time-series data. I understand that after fitting the arima model ...
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0answers
23 views

Hurst exponent of stock using R/S analysis

I am attempting to use R/S analysis to estimate the Hurst Exponent on a single stock. At first I directly use the stock price ( instead of stock return) and the Hurst component calculated is > 0.9 ( ...
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1answer
72 views

SARIMA+GARCH model

The model ARIMA+GARCH writing as this form with the rugarch package in R: ...
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0answers
45 views

tick/book data vs bar data, worth the infrastructure investment?

For reference, I am talking on behalf of a small group of math/stats graduate students as well as software engineers (we are 6 total), we know each other for years and decided to make a small (private)...
2
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0answers
34 views

how to model NGARCH using 5min frequency data?

NGARCH model using 5-min High-frequency data in R I wanted to analyze some 5 minute frequency data of stock market. My teacher asked me to use NGARCH to model, but I didn't know how to program.Here ...
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0answers
34 views

Serial Correlation in Rolling Change Linear Regression Models

1.) Lets say I have two time series GDP, BUSINV from (1948, 2019); Frequency of Data is Quarterly. 2.) Say I want to predict GDP i.e. GDP ~ BUSINV 3.) Since GDP is not stationary (i.e. level) and ...
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0answers
16 views

How to implement Time varying EWMA cross correlation in STATA?

I have read this question, I know about lambda, demeaned subindexes. But not able to implement in STATA?
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2answers
157 views

Absorption Ratio

I'm actually trying to implement Mark Kritzman's absorption ratio (Principal Components as a Measure of Systemic Risk by Kritzmam, Li, Page and Rigobon, 2010, SSRN 1633027) using Python, but I'm not ...
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0answers
51 views

modelling known regime shifts

I wish to model a price time series with a known regime shift: electricity price before during and after the introduction of a carbon price. The time series looks like this: you can see the jump in ...
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1answer
56 views

Can MACD be calculated for values other than 12 and 26?

I am working on time-series classification problem using Convolutional Neural Networks in Python. The data-set used is financial stock market data (like yahoo finance). I am using some technical ...
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2answers
125 views

Why do we need event-driven backtesters?

I am reading this article at quantstart regarding event-driven backtesters. It seems to me that the main advantage of using an event-driven backtesters is that it avoids look-ahead bias. Usually I ...
0
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1answer
83 views

Trading 3 stocks X Y Z where X cointegrated to Y, Y to Z, but no other cointegration is available

Suppose you have 3 stocks, say X Y Z. You also know that X is cointegrated to Y using some test (say ADF) and Y is cointegrated to Z. However, no transitivity, and no threesome cointegration ...
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2answers
101 views

How to handle Holidays in Time-Series Datasets?

Im currently analyzing a Dataset of the German Stock market. While Holidays like Christmas or New Year aren't a problem for Return Calculation or Portfolio Performance, im testing some regressions and ...
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1answer
75 views

What does A(B) mean in time series

So I have been reading some papers regarding time series, mainly from Granger and Engle. I am a bachelor econometrics student, but I have never seen such notation before. For example, A(B)(1-B)x(t) = -...
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2answers
113 views

Fama French Three Factor Model: How do I get the risk premia?

I try to calculate the cost of equity with the FF3 model and already estimated the beta factors for the market, size and value risk premia by using regressions and the data provided on the Kenneth ...
1
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1answer
68 views

generalisation of cointegrated stock pair strategies to multiple cointegration

Question: as it is well known, there are strategies to trade pairs of stocks which are known to be co-integrated. See for instance here: https://medium.com/auquan/pairs-trading-data-science-...
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0answers
54 views

Cross Effect in OLS

I am using cross effect in OLS regression for a time series problem for a multivariate regression. I want to quote reference for use of cross effect. Secondly, I want to explain why better to use ...
1
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1answer
108 views

How can stationary time series data be used as input in an ML model?

I am halfway through "Advances in Financial Machine Learning" by Marcos Lopez de Prado. I understand that a time series like stock prices can be transformed to make it sufficiently stationary. ...
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1answer
84 views

Exponential Smoothing - Alpha greater than 1

Simple stats question. I'm having trouble finding anything in the literature as to why the smoothing coefficient can never be greater than 1. This question was started by me doing time series ARIMA ...
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1answer
89 views

linear model of price changes

I came across the below equation for linear model of price changes in E.Chan book Algorithmic Trading which is the base for a strategy. ...
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0answers
45 views

Brownian motion from price-series, what is the time step?

If I assume a given empirical price-series is a brownian motion, I can estimate the drift and standard deviation as long as I know what the time step was when the process was 'generated'. But since ...
1
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1answer
67 views

Forecasting a seasonal series with R

I am working with the program "R". I used the command "seas (X-13)" to deseasonalize my quarterly series, then I did the forecast with it. Therefore my forecast is in deseasonalized terms. Now, I was ...
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0answers
22 views

Pricing a transfer option for oil

Need some input in how to attack this problem. Given are 8 timeseries: UK Oil price, Delivery Quarter 1 2020 UK Oil price, Delivery Quarter 2 2020 UK Oil price, Delivery Quarter 3 2020 UK Oil price, ...
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0answers
51 views

Log transformation of TS-stationary time series

I usually see the $log$ transformation of prices: $$p_{new}\left(t\right) = ln\left(\frac{p_t}{p_{t-1}}\right), t \in [2...N]$$. Let's our series be a trend stationary time series like: $$p\left(t\...
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0answers
47 views

Is this a good (partial) autocorrelation or bad?

I was playing with some data on deviation of close prices from its smoothed estimated and got these ACF and partial ACFs: I still struggle to get proper intuition to the ACF plots. What do the plots ...
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1answer
65 views

Misunderstanding of time series autocovariance

I'm reading the "Time Series: Theory and Methods (2nd ed.)" by P.J.Brockwell and R.A.Davis. I've stopped at the one moment at pp.218-219 (Chapter 7 "Estimation of the mean and the Autocovariance ...
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0answers
72 views

Fama-French 3, Carhart 4, Fama-French 5 Factor models return borderline 0% R2 (max. 6.6%). Time series regression

I am currently working on an industry specific time series analysis of European Equities between 201001 and 201812. I use the European Fama French factor returns (plus the momentum factor return) that ...
1
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1answer
96 views

when a co-integrated times series pair has broken the leash

I have two times series, say $T_i$ and $S_i$ over a reasonably large time window, and I have calculated their cointegration (using python's OLS and Adfuller) . Say that the test has passed with high ...
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0answers
36 views

Problem with Hurst exponent estimation for ARFIMA models

guys. I try to realize my ARFIMA model identification script in R. I try to find the best method for unbiased Hurst exponent estimation (fractional difference parameter could be found as Hurst - 0.5) ...
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0answers
30 views

Tools related to Granger Causality

I would like to know if there are some tools that can measure that one time series is "faster" than the second one. I talk about really similar time series related to high frequency trading (hundreds ...
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1answer
46 views

serial correlation and CUSUM results

I have the following CUSUM test resulted from autoregressive distributed lag models (ARDL). Does the CUSUM results show that the model is stable? I am a bit confused because the red line in CUSUM ...
1
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1answer
101 views

Calculating Ex-ante Sharpe Ratio in multi-period setting

I have built a return process $\{x_t, t = 1,\dots,T\}$ for an asset. Suppose I have generated $K$ sample paths $\{x_t^j, t=1,\dots,T\}, j=1,\dots,K$. I think of two ways to compute the Sharpe ratio. ...
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0answers
252 views

R Equilibrium FX using VEC or Behavioural Equilibrium Exchange Rate (BEER)

I dont have much experience with R. I would like to do create model for FX Equlibrium using VEC or BEER. I already know what variables I want to use in model: trade differential between UK and the ...
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0answers
107 views

Some basic examples for Granger causality

I have two time series, X and Y. The number of observations in each time series is the same and the variables would be price(logged). The goal of my research is to analyze if one variable X follows ...
3
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1answer
90 views

Is there such a thing as resonance in economic underliers?

In physics the occurence of resonance is explained and widely understood in its linear form and subject to research in nonlinear resonance. Example for instance are resonant frequencies of objects. ...
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0answers
75 views

Autoregressive Distributed Lag Models (ARDL) results analysis

When using autoregressive distributed lag models (ARDL), I usually get a counter-intuitive result for the selected lag. For example, when examining the relationship between GDP and Foreign Direct ...
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1answer
212 views

Multivariate Markov Regime switching GARCH

I have a regression with 4 independent variables and a dependent variable. I want to implement a Regime switching GARCH model but have been unable to find a package in R,Python or Matlab. MSGARCH ...
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0answers
235 views

Feller Condition (Cox-Ingersoll-Ross) source

For the Cox-Ingersoll-Ross model $$\text{d}r_t = a(b-r_t)\text{d}t+\sigma\sqrt{r_t}\text{d}W_t$$ the condition (referred to as "Feller condition") $$2ab\geq\sigma^2$$ ensures that the solution is ...
2
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1answer
113 views

Standard GARCH(1,1) model with external regressors

I have a queastion how does a standard GARCH(1,1) model with external regressors in mean and variance euqations look like ? I know that standard GARCH(1,1) model without external regressors has the ...
3
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3answers
277 views

PCA for Risk bucketing

I'm working on a project to justify the use the certain tenors (2y, 5y, 10y, 30y) for risk bucketing. I'm a little stuck after calculating the principal components. Just to describe my approach- a) ...