Questions tagged [time-series]

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

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Market Invariant for Commodity Futures

In the same sense that Meucci describes "compounded returns" as the invariant for equities and "changes in yield-to-maturity" as the invariant for fixed-income, what is the invariant for a commodity ...
143 views

Daily returns to monthly basic question [closed]

I am currently a little bit puzzled. I am trying to compute the monthly returns from a set of data. ...
74 views

Cointegration between daily time series and intraday time series

I am working with time series data of daily prices, and intraday prices. For simplicity sake I will refer to the daily time series as 'A' and 'B', and the intraday time series of the same instruments ...
82 views

How long is considered `long-term'?

For a project I am doing I need to simulate the balance sheet of a pension fund. In order to do so I also need to simulate euro inflation. Since my inflation data is non-stationary, I model it using ...
168 views

A question about stationarity and ergodicity

Given daily returns of a stock index over 50+ years, a homework question asks: Plot the annual sample mean and variances of the returns and their absolute values. Are these estimates in agreement ...
362 views

What is the Probability Distribution of Max-Drawdown?

How to obtain the probability distribution of Maximum Drawdown, starting from the probability distribution of Daily Returns? Here the details: Suppose I have a time serie of N=1000 daily returns. ...
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Comparison of normalization methods on market returns

I am looking to use a multi-factor model to make target-return predictions. Since the factor-returns come from different scales I need to normalize first. There are different ways to normalize ...
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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 ...
102 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 ...
102 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 ...
61 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 ...
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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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 ...
225 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 ...
24k 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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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 ...
153 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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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 ...
783 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). ...
438 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 ...
110 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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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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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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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 ...
276 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 ...
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 ...
98 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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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 ...
125 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 ...