# Questions tagged [time-series]

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

507 questions
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### Hourly Returns Statistical test

I am trying to do an analysis on time zones effect on intraday returns. As a first step, I collected hourly log returns for the past 3 years and bucketed them by hour (so that I have 24 buckets ...
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### Reference request: Quantitative approaches to market abuse detection

have been asked to look at some financial timeseries for potential suspicious activity. These are stocks (my background fixed income hybrids trading and not forensic analyst...) and most of the ...
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### Use of ACD to model transaction durations

I am using a simple ACD (autoregressive conditional duration) model with expoential or Burr distributed residuals and 1 lag, i.e. ACD(1,1). I am modelling durations for transactions data on a 'medium'...
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### How to find relationships between financial data?

Suppose I have a time series of stock growth and one of gdp growth and education over the years. Can I try to explain stock using gdp and education by running an OLS or would I be mistaken from a ...
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### cubic spline in excel with month, quarter and year inputs

Using Excel, how could I calculate a cubic spline curve in monthly granularity when my inputs are a combination of months, quarters and years? The quarter and yearly averages of the spline curve need ...
107 views

### Package ‘PerformanceAnalytics’ - Risk-free rate : Trouble using CAPM.beta() function

This is the first time I use the Package ‘PerformanceAnalytics’. I have a problem when it comes to use "Rf" (risk-free rate) when using the CAPM.beta. I use EONIA as a proxy for the risk free-rate. ...
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### Linear Transformation of stock price

Suppose, using market data for a stock, at a tick level, I arrive at a time series, I(t), which is a linear transform of the stock price time series, S(t). I(t) is not leading S(t) and the lagged ...
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### How to plot time series for stock data using R

We have a dataset which has open,high,low and close values. We have normalized the data and trying to plot normalized open values against Date. The dataset can be found at http://finance.yahoo.com/...
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### Reliable data sources of 1,2,3,5,10,30,60,320 minute S&P500 O,H,L,C,V data

I am looking for a reliable data source provider for 1 to 320 minute S&P500 data. Or the ES mini contract. Can anyone suggest a good source for this? Thanks! Andrew
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### Time Series clustering

I have financial time series and PCA scores, that I'm trying to cluster. As PCA scores don't have orientation, I would like to know what clustering method would be suitable for clustering these kind ...
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### R Help: Daily time series on business days

I have a daily time series in a csv file. With the below command I read the data in a data.frame test <- read.csv("xxxx.csv", header = T, sep=";", dec=",") I ...
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### Historical beta: Beta estimation for which time horizon?

In practice historical beta is the most used approach for calculating beta. Some one can use i.e. the last 6 month daily returns of stock i and market m to calculcate this. Nevertheless I am ...
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### Why are my GARCH forecasts biased?

I've run an ARMA(1, 1)-GARCH(1, 1) model with normal density on log returns for twelve stocks. I computed the one-step-ahead out of sample forecast for daily volatility on a rolling windows for 500 ...
563 views

### How to construct a continuous price time series out of futures raw data in Excel?

My object of research is corn futures: It is well known that corn futures expire 5 times per year: March, May, July, September and December. Due to their finite life that is limited by their maturity,...
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### 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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### How do you decide what time frame you're going to use when testing for cointegration?

I've been fiddling around with different time frames when doing tests for cointegration between two timeseries, and I've realized that the dates that you use for your start/stop of the test will ...
517 views

### Is there a difference between “regression toward the mean” vs “mean reversion”, in the context of financial time series and cash flow analysis?

I read the Wikipedia articles, and it implied that it was different: https://en.wikipedia.org/wiki/Regression_toward_the_mean In finance, the term mean reversion has a different meaning. Jeremy ...
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### ARIMA model coefficients from discontinuous data series

Stock prices are not stationary processes during all week or all day. For example EURGBP has low variability at night in Europe but during working hours is changing much more dynamic because of market ...
404 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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### Using GO GARCH to optimize a yearly-rebalanced portfolio based on daily data

Is it reliable to optimize portfolio weights on a yearly-rebalanced portfolio based on the Generalized Orthogonal GARCH (GO-Garch) covariance, coskewness, and cokurtosis matrices with the rmgarch R-...
573 views

### How to efficiently get covariance matrices from a rolling window in Matlab?

I'am trying to produce a rolling window to estimate a covariance matrix using a for-loop. I have my returns under the variable returns_sec and I have 260 ...
3k views

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### Time series of European sovereign credit ratings by the Big Three?

I would need time series, from 2000 to 2015 (if possible) of sovereign credit ratings by Moody's, S&P and Fitch. Could you suggest me a source or provide me such a dataset? Thank you very much!
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### Cointegration for forex using ARMA model to forecast the spread

I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python. Please see below the python file: https://drive.google.com/file/d/...
Let's say I want to use a Gaussian copula $$C_{R_t}(\eta_1, ..., \eta_n) = N_{R_t}(N^{-1}(\eta_1), ...,N^{-1}(\eta_n))$$ with a time-varying correlation matrix $R_t$. Through DCC we model the ...
I have my estimates for an AR(3). To obtain the residuals I'm supposed to use $$Y_t-\hat\phi_0-\hat\phi_1Y_{t-1}-\hat\phi_2Y_{t-2}-\hat\phi_3Y_{t-3},$$ where the Y's are from the dataset. If I do ...