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3
votes
0answers
165 views

Noise in ARIMA Model In-Sample Predictions

I am working on fitting some financial data into an ARIMA model to give me a forecast of the next time period. I am using pyramid's auto_arima function to get a ...
3
votes
0answers
542 views

Medium Frequency Trading - Better labelling strategy?

The mid-price at time $t$ is denoted by $$p_t = \frac{s_t^{a,1} + s_t^{b,1}}{2}.$$ This mid-price can evolve in minimum increments of half a tick but is almost always observed to move at ...
2
votes
0answers
12 views

Python coding question [closed]

I have a question regarding how to code the logic below in python: I have one reference table containing information what should be inside each different bucket, 1 would indicate it should contain ...
1
vote
0answers
172 views

EWMA using Monte-Carlo simulation

Im trying to forecast volatility using an EWMA model in python. Where i have return(t-1) and variance(t-1). n is number of days. for every Monte-carlo simulation N: t=1: Forecast the variance using: ...
0
votes
0answers
130 views

Test for confounding variable S&P 500 Python

I'm looking into a possible topic for a school project currently. It involves looking at the S&P 500 in comparison to other indices globally (e.g., Nikkei, DAX, etc.). I currently have plotted 19 ...
0
votes
0answers
118 views

Weather analysis | company sales

I'm writing a python code that reads in a csv file of rain in inches for a given zip code and creates a normal distribution from the data. Ultimately, I want to be able to create some score for the ...
0
votes
0answers
2k views

Implementing the Bayesian Information Criterion (BIC) Using PyKalman

I'm trying to use pykalman to do a Kalman filter on financial data and it seems to be generally working very well. However, when I attempt to extend the code using BIC $\mathrm{BIC} = {-2 \cdot \ln{\...
-2
votes
1answer
2k views

What are the Advantages of R over Python in Statistics? [duplicate]

So I'm a budding quant, but came from an Economics background so what I learned first was R and, of course, have fallen in love ever since. However, I recently started doing research on why Python ...