Questions tagged [time-series]

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

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44
votes
4answers
5k views

How much data is needed to validate a short-horizon trading strategy?

Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
74
votes
9answers
31k views

Efficiently storing real-time intraday data in an application agnostic way

What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
28
votes
6answers
15k views

What is the intuition behind cointegration?

What is the intuition behind cointegration? What does the Dickey-Fuller test do to test for it? Ideally, a non-technical explanation would be appreciated. Say you need to explain it to an investor ...
17
votes
6answers
3k views

How to generate a random price series with a specified range and correlation with an actual price?

I want to generate a mock price series. I want it to be within a certain range and have a defined correlation with the original price series. If I choose, say, oil, I want as many time series which ...
51
votes
6answers
23k views

How are correlation and cointegration related?

In what ways (and under what circumstances) are correlation and cointegration related, if at all? One difference is that one usually thinks of correlation in terms of returns and cointegration in ...
20
votes
8answers
35k views

How to check if a timeseries is stationary?

I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use?
2
votes
1answer
932 views

Does the unconditional variance implied by a GARCH equal the sample variance?

In the MATLAB default settings for GARCH estimation they say "presample conditional variance is the sample average of the squared disturbances of the offset-adjusted response data y". Am I right in ...
41
votes
8answers
20k views

Time-series similarity measures

Suppose I have two time series $X$ and $Y$ of stock prices. How do I measure the "similarity" of $X$ and $Y$? (I'm being deliberately vague as I don't have a particular application, and I'm curious ...
30
votes
4answers
8k views

What is a stationary process?

How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
21
votes
2answers
3k views

Is there a standard method for getting a continuous time series from futures data?

I would like to be able to analyse futures prices as one continuous time series, so what kinds of methods exist for combining the prices for the various delivery dates into a single time series? I am ...
8
votes
1answer
577 views

Why is the GARCH intercept supposed to be strictly positive?

Maybe it's a simple question but I don't really understand why it is theoretically required. Let's take the standard GARCH(1,1) $$\sigma^2_{t+1}=\omega+\alpha\epsilon^2_{t}+\beta\sigma^2_{t}$$ In most ...
28
votes
8answers
25k views

What is the best data structure/implementation for representing a time series?

I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series. ...
17
votes
5answers
47k views

How to fit ARMA+GARCH Model In R?

I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...
14
votes
1answer
9k views

Time Series Regression with Overlapping Data

I am seeing a regression model which is regressing Year-on-Year stock index returns on lagged (12 months) Year-on-Year returns of the same stock index, credit spread (difference between monthly mean ...
12
votes
4answers
15k views

Are public historical time series available for ratings of sovereign debt?

The nice list of free online data sources What data sources are available online? does not mention any data from ratings agencies. Are historical time series available for sovereign credit ratings (...
11
votes
2answers
16k views

GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about predict in the ...
10
votes
1answer
13k views

How to calculate the conditional variance of a time series?

I am reading a paper where the term conditional variance is mentioned, but I am not really sure what is meant by this and how this can be calculated: Fig. 2 shows the conditional variances of the ...
16
votes
3answers
5k views

How do I calculate the skewness of a portfolio of assets?

I need to calculate the skewness of a portfolio consisting of 6 assets. I know that for that I would need the co-skewness matrix between the assets. Does anybody know the formula for co-skewness or ...
13
votes
5answers
4k views

How to interpolate gaps in a time series using closely related time series?

I am trying to construct a daily time series of prices and returns for some large universe of securities. However, all I have available are a monthly time series of the prices/returns (as well as ...
3
votes
1answer
7k views

detecting and measuring lead lag effect

Given two time series data. I remember there is one statistics that tells you one is the leading factor while the other is the lagging factor. However, i do not remember the exact details. correlation ...
16
votes
5answers
3k views

Are two identical time series cointegrated?

I did cointegration test on two identical time series, and the result shows that they are not cointegrated, but intuitively, I think they are. Can anyone share some thoughts on this? Thanks!
6
votes
1answer
1k views

Ornstein versus AR(1) for modeling stationary data

I've come across several posts regarding parameter estimation for O-U models given some stationary data (say, some sort of mean reverting spread), but I can't seem to find an answer as to why modeling ...
61
votes
8answers
24k views

Is R being replaced by Python at quant desks?

I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
45
votes
5answers
8k views

How do I graphically represent the evolution of a covariance matrix over time?

I am working with a set of covariance matrices evaluated at various points in time over some history. Each covariance matrix is $N\times N$ for $N$ financial time-series over $T$ periods. I would ...
26
votes
2answers
2k views

How to quickly estimate a lower bound on correlation for a large number of stocks?

I would like to find stock pairs that exhibit low correlation. If the correlation between A and B is 0.9 and the correlation between A and C is 0.9 is there a minimum possible correlation for B and C? ...
18
votes
3answers
6k views

Can the concept of entropy be applied to financial time series?

I am not familiar with the concept of entropy for time series. I am looking for good reference papers and examples of use.
9
votes
3answers
700 views

How to test for and how to simulate price rise/fall asymmetry in the stock market

One of the stylized facts of financial time series seems to be a fundamental asymmetry between smooth upward movements over longer periods of time followed by abrupt declines over relatively shorter ...
18
votes
2answers
2k views

How to forecast expected volatility from high-frequency equity panel data?

I'm wading through the vast sea of literature on realized volatility estimation and expected volatility forecasting (see, e.g. Realized Volatility by Andersen and Benzoni, which cites 120 other papers,...
14
votes
6answers
19k views

Why non-stationary data cannot be analyzed?

Searching online, i found out that non-stationary cannot be analyzed with traditional econometric techniques as in case of non-stationarity some basic model assupmtions are not met and correct ...
19
votes
2answers
4k views

How to update an exponential moving average with missing values?

Say you have an Exponential Moving Average being continuously updated over a time series using 1-second-long time periods. What should happen if there is no value for the next second, e.g. there were ...
14
votes
2answers
424 views

Is a linear combination of GARCH processes also a GARCH process?

If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
4
votes
2answers
3k views

How to remove outliers in financial times series?

I have a bunch of time series; i need to clean them before modelling. So far I just know the “filtering/smoothing” method : -Ex: moving average methodology (filter the data with a moving average (...
12
votes
1answer
1k views

Why does the following data fail my cointegration test?

I have some closing price data for two Australian banks which track each other very closely. http://dl.dropbox.com/u/12337149/stat/CBA.csv http://dl.dropbox.com/u/12337149/stat/WBC.csv Code from ...
4
votes
3answers
664 views

Transaction Data with Participant ID

For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders ...
11
votes
2answers
447 views

How to “uncluster” a set of financial data?

I am attempting to evaluate and compare the profit factor of different "test runs" of a FOREX trading strategy. My problem is that, despite an average time between orders of 2hr+, some of these runs ...
7
votes
2answers
7k views

How GARCH/ARCH models are useful to check the volatility?

Below a R code wrote by the moderator @richardh (whom I want to thank again) about ARCH/GARCH models. ...
5
votes
1answer
1k views

How to apply quasi-Monte Carlo to path-dependent options?

Following up on my recent question on variance reduction in a Cox-Ingersoll-Ross Monte Carlo simulation, I would like to learn more about using a quasi-random sequence, such as Sobol or Niederreiter, ...
5
votes
1answer
347 views

From $AR(p)$ to SDE

Let the Vasicek model to be $$\Delta r_{t}=k(\theta - r_{t-1})\Delta t+\sigma\Delta z_{t}$$ Due to the fact that $$\Delta r_{t}=r_{t}-r_{t-1}$$ if you let $\Delta t=1$, it is easy to see by ...
4
votes
1answer
2k views

How should we select efficiently orders parameters in time series modelling?

A common way to select orders parameters (ex: to choose the number of AR terms to be included in the model ) in time series modelling is to rely on some Information Criteria (AIC, BIC, Hannan Quinn..)...
3
votes
3answers
3k views

Handling Missing values in stocks returns when estimating the co variance matrix

What is the best way to handle missing values when stocks did not exist for the entire historical period?.
3
votes
3answers
208 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) ...
3
votes
2answers
970 views

Choosing the right statistical test for Mutual Fund Performance Evaluation

How do you suggest I do this? I would like to perform a statistical test to check if: the aggregate alpha of all funds equals 0. the aggregate beta of all funds equals 1. Data Sample of 1000 ...
5
votes
0answers
372 views

Calculating volatility of inhomogeneous time series

I am reading an article by Zumbach and Müller whose name is Operators on Inhomogeneous Time Series. This is interesting in general, but my main goal is to learn a good and efficient method to ...
4
votes
2answers
1k views

ruGarch - Interpret test results

I'm working on a R project, trying to calibrate a GARCH (so far, (1,1) ) model to the yields of the STOXX50 index over the last 2 years. I've tried the garch function of the tseries package, but it ...
3
votes
1answer
625 views

Correct procedure for modelling GARCH for forecasting volatility of stock Index returns

I will be using Eviews and am looking to forecast volatility of stock index returns using ARCH/GARCH models. I've generated the logarithmic returns and done the unit root tests. I then proceeded to ...
3
votes
3answers
8k views

Squared and Absolute Returns

I've always wondered why do one use squared or absolute returns to determine if volatility modeling is required for the return series? We understand that there are various tests for its ...
2
votes
1answer
260 views

distribution of AR, MA coefficients estimation in ARMA-GARCH models

could anyone give me an information about distributions of AR and MA coefficients via estimation? So, for example, I have ARMA(1,1)-GARCH(1,1) model with the same AR(1) and MA(1) parameters ...
0
votes
0answers
197 views

Rolling forecast using GARCH model

EDIT This is not a duplicate of my original question linked, since I have since overcome that problem and have posted an answer. Since solving the previous problem, I have run into the problem ...
3
votes
1answer
338 views

Is that a good way to work with the ARMA model?

I would like to share with you what I am doing to get your point of view, and to make a better trading system in collaboration. I am working on EURUSD forex, and I am trying to find a way to place ...
3
votes
1answer
3k views

2-step estimation of DCC GARCH model in Python

Embedded in this thread are multiple questions. I'm currently im the process of implementing a DCC GARCH forecast model on quantopian (a python-powered trading platform). The two step consists of ...