1
vote
2answers
49 views

How to stationarize profit and loss data with an increasing variance and large negative values for time series analysis?

PnL can take large negative values, and its variance increases over time as the firm grows. If we do differencing, an increasing variance remains. If we take log, negative values cannot be defined. ...
1
vote
0answers
50 views

How do I deal with asynchronous data in financial time series?

I have tick by tick data of two financial time series. I am trying to do online regression between the given two time series. But I am stuck due to asynchronic nature of given financial time series ...
2
votes
0answers
29 views

Analysis of proportions over time

My knowledge of statistics is limited and I am looking for resources to read on the matter if possible. Anyways, I am currently trying to estimate a confidence interval for a proportion over time. ...
2
votes
3answers
115 views

Dealing with different time series data in Machine Learning

I am trying to create a stock market model based on fundamental variables for the US economy. I am using R. Some of the variables I am looking to include are: GDP, Unemployment Rate, Initial Claims, ...
0
votes
1answer
60 views

High Ljung-Box p-values at large lags

I am trying fit an ARIMA model to stock returns. I have reached a decent model using the AIC criterion. However, the ljung-box p value under a diagnostic plots are pretty weird. The null ...
0
votes
0answers
37 views

Derivation of Zhou (1996) volatility estimator

Does anyone know how to derive the Variance of Bin Zhou's volatility estimator (Theorem 1) in 'High-Frequency Data and Volatility in Foreign-Exchange Rates' (1996)? PDF Link attached. Any help would ...
1
vote
1answer
121 views

Given this time series, what statistical methods would be used for description and forecasting?

These static cumulative default rate tables and charts come from this public report published by a credit rating agency. Basically, you take all the loans originated in a period of time (a ...
1
vote
1answer
91 views

How to sum correlations, or, calculate correlation of disjointed variables

I'm trying to calculate the correlation of two variables, but the array is disjointed in the middle - but I'm trying to obtain one correlation coefficient. See the excel file I uploaded. Because ...
2
votes
0answers
77 views

Estimating a VAR model with variable coefficients

I want to estimate a VAR model based on the Dufour and Engle paper "Time and the Price Impact of a Trade" (2000). There, the parameter $ b_{i} $ of the endogenous variable $ x_{i} $ is dependent on ...
2
votes
1answer
83 views

Detecting outlier cash movements

If I'm watching a series of accounts for transactions going in and transactions going out, I want to notice unusually large or transactions for any particular account on any particular day. So if ...
3
votes
3answers
997 views

Does applying ARMA-GARCH require stationarity?

I am going to use the ARMA-GARCH model for financial time series and was wondering whether the series should be stationary before applying the said model. I know to apply ARMA model the series should ...
1
vote
1answer
108 views

A choice between two books

Can anyone please advise which of the following books I should read: Statistics and Data Analysis by Rupert Analysis of financial time series by Tsay. I am interested in applying the theory and ...
6
votes
1answer
2k views

Variance of annual return based on variance of monthly return

I'm trying to understand the whole variance/std error thing of a time series of financial returns, and I think I'm stuck. I have a series of monthly stock return data (let's call it $X$), which has ...
1
vote
1answer
104 views

Confused about independence and prediction power of data

What is the correct way (if there is one) to think about when authors claim that stocks have produced some percentage annual return X over every 20 year period of time? They might calculate this by ...
3
votes
1answer
1k views

First steps learning to predict financial timeseries using machine learning

I am trying to get a grasp on how to use machine learning to predict financial timeseries 1 or more steps into the future. I have a financial timeseries with some descriptive data and I would like to ...
0
votes
0answers
203 views

“system is exactly singular” in R function BoxCox.ar

I'm trying to perform a Box-Cox transformation on some financial data (SPY). The BoxCox.ar function (in the package TSA) gives me the following error: ...
1
vote
0answers
140 views

I have two sets of data (regular time intervals) is there any way to find out when they correlated the most and when they don't?

Sorry if the title is a bit vague however, i'm not sure exactly how to make my sentence concise. I have two times series: Amount invested into Iraq across time (in months) Price of a stock across ...
2
votes
0answers
68 views

Fitting series to a distribution

I am reading this note on Mean-CVAR optimization. The authors argue against the prevailing assumption that asset classes are normally distributed and propose using a truncated levy flight distribution ...
0
votes
1answer
83 views

What is the distribution that can properly describe the PE fluctuation of a stock

I have observed the historical PE (price / profit) value of a stock and realized that it roughly follows a log normal distribution. However, even when the next earning data point is easily ...
12
votes
2answers
297 views

Irregularly spaced time-series in finance/economics research

In financial econometrics research, it is very common to investigate relationships between financial time series that take the form of daily data. The variable will often be made $I(0)$ by taking the ...
1
vote
1answer
794 views

Cointegration testing with a dummy variable

I have the model: $y_t = \alpha + \beta_1 x_t + \beta_2 D_t x_t + \epsilon_t$ With $y_t$ and $x_t$ as $I(1)$ processes, and $D_t =1$ during a large financial crisis, $D_t = 0$ during non-crisis ...
3
votes
0answers
272 views

Independent t-tests and Technical Indicators: Voodoo, Axes, and Objectivity

First off, I'm not trying to crowd source a personal printing press (i.e., not doing this: "I'm using strategies $x$, $y$, $z$ in the stock market and..."). Instead, I'm looking for feedback on ...
2
votes
0answers
341 views

Implication / Interpretation of long term equilibrium VECM

I want to test the influence of exchange rates on a price index and struggle with the interpretations. My variables are I(1) First, I ran an OLS on first differenced variables which indicated a ...
4
votes
0answers
571 views

Lag length selection Granger causality test

Consider G-Causality on two stationary time series vectors (call these variables $X$ and $Y$), each with 100+ observations. It's daily financial market time series data. I have reason to believe that ...
1
vote
2answers
584 views

Skewness, kurtosis and normality of a time series

I have a sample size of $21$ with $496$ observations.Can I presume an approximately normal distribution,and use a $t$-test to compare the difference in means, and difference in various financial ...
3
votes
0answers
269 views

Time Series: correcting the standard errors in a huge panel time series data set

I have stock returns at every 5 minute interval of each trading day for over 2 years for 40 stocks. I want to run a Fama-Macbeth regression by time interval (5min intervals) and then correct the ...
0
votes
1answer
327 views

Rolling price returns in a linear regression

I want to conduct a linear regression (in matlab) using rolling monthly returns; the aim is to give me a prediction for the next monthly rolling period return. return calculation: ...
0
votes
3answers
355 views

Good reference on sample autocorrelation?

I'm not a statistician but I'm writing my thesis on mathematical finance and I think it would be neat to have a short section about independence of stock returns. I need to get better understanding ...
5
votes
2answers
197 views

How to determine if there is a drop in revenue after a change in the system?

We recently released a new redesigned e-commerce website for a client. They are claiming to be seeing a 40% drop in revenue due to the changes. We have daily sales data going back a few years. We ...
3
votes
2answers
257 views

Simple distance measure for financial time series

I have a large quantity of financial trading systems that I believe are highly duplicative, meaning that I believe a large number of the trading systems are essentially the same thing. I am looking ...
4
votes
1answer
399 views

How to test unit root in a timeseries with unknown structural change?

Is there a unit root test that works with structural change? I only found Zivot-Andrew test but I would try another test, I do not know if the timeseries has a structural change, so I need a test that ...
5
votes
1answer
400 views

k-fold CV of forecasting financial time series — is performance on last fold more relevant?

I am working on an ANN-based forecasting model for a financial time series. I'm using 5-fold cross-validation and the average performance is so so. Performance on the last fold (the iteration where ...
4
votes
0answers
373 views

How to model time-varying correlation

Suppose I have two time-series variables, $\{x_t\}$ and $\{y_t\}$, where $t\in[1,T]$. I would like to model the correlation $\rho(x_t,y_s)$ as some function of $t$,$s$, and the difference $t-s$. In ...
14
votes
1answer
3k views

Usage of HMM in quantitative finance. Examples of HMM that works to detect trend / turning points?

I am discovering the marvellous world of such called "Hidden Markov Models", also called "regime switching models". I would like to adapt a HMM in R to detect trends and turning points. I would like ...
6
votes
6answers
5k views

Correlation between two variables of unequal size

In a problem I am working on, I have two random variables, X and Y. I need to figure out how closely correlated the two of them are, but they are of different dimensions. The rank of the row space of ...
7
votes
4answers
261 views

Understanding productivity or expenses over time without falling victim to stochastic interruptions

Help me here, please. Perhaps before even giving me an answer you may need to help me ask the question. I have never learned about time series analysis and do not know if that is indeed what I need. I ...
6
votes
2answers
449 views

How Large a Difference Can Be Expected Between Standard GARCH and Asymmetric GARCH Volatility Forecasts?

I have been using various GARCH-based models to forecast volatility for various North American equities using historical daily data as inputs. Asymmetric GARCH models are often cited as a ...
7
votes
7answers
2k views

Tools for modeling financial time series

What modern tools (Windows-based) do you suggest for modeling financial time series?