Questions tagged [time-series]

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

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0answers
51 views

Correlation between a sector and MSCI ACWI returns

I have daily return data of 11 sectors of MSCI World Index and the MSCI ACWI index. I want to know the stationarity of correlations between the sectors and MSCI ACWI index. This is what I have done: ...
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1answer
957 views

Absorption ratio by Mark Kritzman

In Principal Components as a measure of systemic risk, the author Mark Kritzman defines absorption ratio (AR) as the fraction of the total variance of a set of asset returns explained or absorbed by a ...
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2answers
309 views

R: optimize timeseries to minimize “integral”

What I am looking to do is: for a given time-series $P_t$ (which will be constructed from different timeseries itself): $P_t$ = $\beta_1$$I_t^1$+$\beta_2$$I_t^2$+$\beta_3$$I_t^3$ $\qquad$ ($I_t^i$ ...
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1answer
659 views

Is this a viable method for testing market making strategies?

I found a video game market (steam community market) which allows for trading of in game items between users, most items are <0.25 USD each, and market capitalization appears to be maybe $5-$10 USD ...
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1answer
97 views

correlation in time series analysis

the goal of my research is to analyze if one variable X follows the movement of another variable Y over time. Meaning that Y is slightly ahead of X. The number of observations in each time series is ...
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1answer
99 views

Asset class dynamics differences

If we compare daily return dynamics of the main asset class time series (e.g. Stock indexes, bonds, precious commodities, etc) do we observe quantifiable differences? Are there some reference paper on ...
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0answers
59 views

volatility for multiple time series

I have time series data for a total of 4 stocks and want to analyze the volatility of those. Moreover I want to demonstrate that they have the same volatility. As a response variable I would use log ...
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2answers
2k views

How to annualize Expected Shortfall?

I have a time series with monthly data from which I compute the expected shortfall empirically, following the classical definition which can be found, for example, in wikipedia's definition. That is, ...
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41 views

Does it make sense to simulate from the multidimensional GBM?

Suppose I have times series data on 3 assets and I do $N$ simulations (GBM) first for each of assets individually and then from a multidimensional GBM since their log-returns are correlated (I use ...
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1answer
194 views

Collect all stock returns in one single matrix using quantmod in R

My problem is similar to the one in this question: how do I loop through all the stocks with quantmod and ttr? To estimate the covariance matrix of stock returns, I need a $NxT$ matrix $X$ of returns ...
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5answers
22k views

Building Financial Data Time Series Database from scratch

My company is starting a new initiative aimed at building a financial database from scratch. We would be using it in these ways: Time series analysis of: a company's financial data (ex: IBM's total ...
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0answers
88 views

Monte Carlo Simulation of correlated returns based on different frequencies

I am simulating through Monte Carlo, multivariate correlated returns of different products composing an Oil&Gas portfolio. The historical prices (from which I computed the log-returns) of the ...
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1answer
152 views

How to estimate a copula for time series

I want to estimate a copula for the innovations of two dependent time series (A and B). I have found no reference with a step by step on how to do this. I have only found summarized papers from which ...
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33 views

Negative abnormal stock return and permanent impact

Assume we have a day where stock price falls many standard deviations of the mean (e.g >3) . How could we test, in terms of time-series, if this negative shock is permanent or deminishes in the long ...
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2answers
738 views

Imposing Restrictions on Cointegrating Vectors, R example

The code given below estimates a VEC model with 4 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor). ...
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3answers
424 views

Mean and standard deviation of price series with Kalman

I like to calculate the mean and standard deviation of a price series, using the Kalman filter. I am somehow stuck with the deviation, or have some problem in understanding, which my research could ...
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1answer
105 views

How to create a currency independent commodity index

I'm looking for insights on a methodology to create my own bespoke index, specifically a gold index. I'd like to take the price of gold in various currencies, along with the different cross rates ...
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1answer
39 views

Recreating / Extending Bond Time Series

I am trying to analyse historical yield curve dynamics within an across countries and step one is extending / recreating historical yields and/or prices. The challenge is this: lets say a 10 year ...
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99 views

What is the purpose of short rate models?

Just venturing into quantitative finance and studying short rate models (Vasicek, CIR, Hull-White etc.). Wanted to ask a very simple intuitive question. How would a practitioner use these models? I ...
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1answer
36 views

Drop weekend data Vs fill weekend data for GARCH-type modelling

I have a dilemma for an analysis I'm currently on. I doing some GARCH modelling of bitcoin and a fiat currency. There are some null values with the fiat datasets in comparison with bitcoin data as ...
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1answer
242 views

Hansen and Jagannathan distance

Hansen and Jagannathan distance, or HJ-distance for time-series regression of excess test assets return on excess factor return reads: $HJ = \sqrt{\alpha'(E[RR']^{-1})\alpha}$ However, I am little ...
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0answers
79 views

Which stats are the best predictors of model sucess in real time? [closed]

What are the best predictors of real time model success in quantitative trading, i.e. # of transactions, length of backtest, StdDev, Skewness, Excess Kurtosis etc and what are the numerical values of ...
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2answers
96 views

What returns to use?

I have monthly returns of my portfolio... I would like to summarize the performance over a longer period in one overall figure. Should I use log returns per month then use geometric mean on the log ...
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1answer
52 views

Time Series Multiple Choice

1) Consider a standard AR(2) process. When is the maximum likelihood estimator identical to the OLS estimator? (a) when $\varepsilon $~ (N 0,$\Sigma^2) (b) always? I'm thinking (a), but that I also ...
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1answer
110 views

dividend paid on FTSE100 time series data

I need dividend paid on FTSE100 for last 10 years. I want to calculate the dividend-price ratio for FTSE100 as a time series data. I would really appreciate if anybody can give me a clue about finding ...
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1answer
252 views

Accuracy for GARCH models

How does one calculate the accuracy of forecasts given by GARCH models considering GARCH is run on returns. Assuming GARCH is a derivative of a regression based prediction model, would regular ...
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2answers
295 views

Why does the Weak Form of Market Efficiency and Markov Property hold?

This question is to do with a paragraph in Hull (Options and other Derivatives) He explains that Stock Prices usually follow a Markov Property, where the current price of the stock contains all the ...
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0answers
50 views

Dividing H in the Hurst power law function to get the Hurst exponent?

For my own learning I have been following the guide here. It is highly instructive. Implementing this in R I was able to reproduce the authors results on the data sets provided within some ...
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0answers
156 views

Yield curve estimaton using linear regression

Assuming that there are not any zero coupon bonds in the market, then someone has to use the prices of regular bonds with same maturity and characteristics (risk,issue etc.) to obtain the yield curve. ...
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0answers
1k views

Hasbrouck's information share

Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in page 12-13 of this article. page 7-8 of this article I have the vector error ...
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0answers
170 views

Determining Hurst exponent of a Brownian motion

I am trying to determine the Hurst exponent of a simple Brownian motion, however, I seem to get a result that differs from 0.5. I am following the instructions given on the Wikipedia-page, and here is ...
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1answer
112 views

Is it possible to generate time&sales(tape) off of the tick data for a stock?

I want to build my own stock trading simulator with the ability to play it faster. ThinkorSwim has onDemand. But it's not fast enough to accumulate more experience. To code up my own market replay ...
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1answer
809 views

Measuring momentum as AR(1) process

I would like to measure the momentum in the price of a stock from the time the market opens until the time I trade each day. I want to use this momentum number in post-trade analysis (regression of ...
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3answers
437 views

log return of sp500. Stationary vs strictly stationary

By first glance of this time series; will you say it is stationary? I can easily see some "seasonality" which means that this is not strictly stationary since the distribution will not be the same; ...
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1answer
161 views

How can I 'quantize' a time-series in 'groups' exhibiting similar patterns? [closed]

In Signal processing, there is a topic of 'Quantization' (the process of mapping input values from a large set to output values in a (countable) smaller set ('states') ). I would like to construct a ...
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0answers
43 views

Non stationarity issue on copula estimation procedure

In this paper (1), on page 14 (section 4), the author presents an empirical experiment on the computation of a copula through the use of kernels. To do so, he uses the following stochastic process (...
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1answer
81 views

unsupervised pattern discovery - methods?

Given that I select features manually, what methods are available for pattern discovery with the purpose of time series prediction (footnote)? I only stumbled upon hierarchical clustring ("bottom-up"...
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0answers
47 views

Minimum Lower Partial Moment (n=2) hedging ratio

I would like to better have understanding on the minimum-LPM hedging. I have understood that the co-LPM matrix cannot be modeled by GARCH type models that are used to estimate to the covariance matrix,...
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4answers
991 views
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1answer
511 views

Close and Adjusted Close in Interactive Brokers API and Yahoo Finance

On Interactive Broker's TWS API manual, there are several historical data types to choose from. Which IB TWS data type's Close value corresponds to Close Adjusted ...
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1answer
132 views

Finding maximum profit on 'ideal' trading with fees

To properly develop my trading strategies I need to find a way to calculate maximum theoretical income made from trading time series with perfect accuracy (i.e. trading while holding 'crystal ball' ...
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1answer
451 views

Augmented Dickey-Fuller Questions

I've been searching in bibliography about this test applied to an AR(p) model. $$Q(L)(Y_{t})=c+\epsilon_{t}$$ Where L represent the Lag Operator and $Q=1-\phi_{1}x-.....-\phi_{p}x^{p}$ is the ...
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53 views

Time series edge minmax probability

Not sure if someone had encountered this problem before: say given a time series, we need to determine the minmax. Usually we need to use some kernel smoother to extract second-derivative. It is easy ...
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2answers
107 views

Price is Log-normal distributed, yet the return is non-normal

I have a price series. The natural logarithm of the price shows good normality. As shown in the standardized normal probability plot below: However, by viewing the standardized normal probability ...
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1answer
2k views

Shannon's entropy for financial times-series (return)

I'm looking at Shannon entropy, and generaly at ways to tell noise from signal when observing intraday returns (at the minute level for now). In python, e.g. I've implemented the fomula (sum of P(xi)*...
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0answers
62 views

Determine GARCH(1,1) from a mean reverting time series recursion

Let $(v_t)$ be a discrete time series of variance obeying a mean-reverting variance process $v_t$, which is actually the discrete version of the Heston model in finance. \begin{align} x_t &= \sqrt{...
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336 views

Interpreting ACF/PACF of return series

Researching a return series on some currency pairs I grabbed 2 years worth of daily data and got to work trying to fit an ARIMA/GARCH model to it. Fitting the (log) return series: ...
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1answer
208 views

R Calculate future price range and plot the result

First I want to say that I've read this post (How to calculate future distribution of price using volatility?) but it doesn't help much. Here is what I'm trying to do (values are not real) Let's ...
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2answers
215 views

Log-periodic power law model: is it a continuous or discrete-time process?

Are the log-periodic power law models used to predict financial market crashes continuous or discrete-time processes?
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2answers
312 views

Fractional Brownian motion - probability density function of the increments

I'm starting investigating the properties of the fractionally integrated brownian motion, yet I'm not able to figure out what kind of distribution should an increment of a fBM process follow, ...