Questions tagged [time-series]

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

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2
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1answer
2k views

How to deal with missing value in a time series stock market data?

I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia). After collection, I have arranged data in a single sheet with ...
2
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1answer
118 views

What is the optimal approach to “backcasting” alternative asset classes (i.e. PE, Hedge Funds, Real Estate)?

I am interested in coming up with better risk calculations for alternative asset classes. As these are illiquid, not a lot of historical data is available. My idea is to use performance of stocks ...
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0answers
31 views

Finding the distribution and moments of returns with GARCH models (in R if possible)

I understand the GARCH type models and I know how to fit a model to a time series. But, there is a paper which calculates the moments of the distribution of returns (Variance, Skewness, and Kurtosis) ...
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2answers
46 views

Significance Of Missing Data for RMSE Estimation

I have a time series covering ten years of daily close prices, which I compare to a theoretical time series generated by a model. The original series has a handful of missing data points (~2%), some ...
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1answer
70 views

QQQ fillings history

I'm trying to find Invesco QQQ Trust fillings for 2001-2018 time period, at least top 10 by year, do you know where I should search?
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39 views

Joint hypothesis tests

When running regressions, $$Y_t=\alpha+\beta_{9}x_{9,t-1}+\beta_2x_{2,t-1}+\beta_3x_{3,t-1}+\beta_4x_{4,t-1}+\varepsilon_t (1)$$ $$Y_t=\alpha+\beta_1x_{1,t-1}+\beta_2x_{2,t-1}+\beta_3x_{3,t-1}+\...
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1answer
39 views

Deriving the long-horizon predictive regression and hypothesis testing

I am working on the long-horizon regression, $$y_{t,K}=\mu+\beta_1x_{1,t-1}+...+\beta_nx_{n,t-1}+e_{t} $$, where $$y_{t,K}=y_{t}+y_{t+1}+...+y_{t+K-1}$$ and there can be multiple x's. So I am ...
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0answers
241 views

Simulation of a DCC-GARCH

I want to simulate some exchange rates with a DCC GARCH. I know the package rmgarch but I want to code the simulation my self. The following are the main equations ...
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0answers
67 views

Constrained Optimization for performance attribution

I am trying to perform constrained opmitization for portfolio performance attribution analysis. Specifically, I am trying to determine the impact of sectors performance on the S&P 500 index. Min ...
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1answer
72 views

EWMA Volatility vs Volatility of EWMA

Is taking the standard deviation of a EWMA smoothed series equivalent to getting the EWMA volatility for that series?
3
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1answer
214 views

Discretizing a Continuous Time Stochastic Volatility Model

How does the discrete time stochastic volatility model arise from the continuous time one? Also, forgive me for cross-posting. I have the following continuous time SDE for a stochastic volatility ...
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0answers
62 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
3k 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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1answer
123 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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0answers
65 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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0answers
48 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 ...
4
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2answers
249 views

Lagged Residual as Independent Variable

I am building a factor model to estimate future equity returns. I'd like to include an autoregressive residual term in this model. I'd like to have yesterday's error (the difference between yesterday'...
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0answers
117 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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0answers
38 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
317 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
459 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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1answer
95 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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3answers
474 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
46 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 ...
5
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1answer
634 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
85 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 ...
2
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1answer
103 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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1answer
125 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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2answers
118 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
56 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
175 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 ...
0
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1answer
620 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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0answers
69 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
237 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
215 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 ...
0
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1answer
126 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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3answers
913 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; ...
2
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1answer
289 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 ...
4
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0answers
79 views

Is non-stationarity an issue during copula estimation?

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 (...
3
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1answer
160 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 ...
0
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1answer
94 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
58 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,...
1
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1answer
161 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' ...
10
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1answer
9k views

How to use statsmodels' Granger causality test to measure the lag between two time series?

I am using the Granger causality test to measure the lag between pairs of time series where it is already apparent that one is following the other. So I am not expecting this test to tell me whether ...
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0answers
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
153 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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0answers
77 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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0answers
566 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: ...
4
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1answer
353 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 ...
2
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1answer
405 views

R Mean Reversion Estimate on Funds

I am new to mean reversion, and I'd like to run an analysis on a fund (ts with monthly returns only) to see if mean reversion applies and if so, when it will happen. Most of the examples I found ...

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