All Questions
Tagged with forecasting correlation
7
questions
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131
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Is non-linear correlation problematic in financial time series prediction?
Many traditional finance models assume linear relationships between variables and features. Aren't linear correlations/covariances unable to capture financial processes empirically since they actually ...
- 3,040
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1
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143
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Transform raw forecasts into orthogonal forecasts
I am trying to combine multiple forecasts on each of N assets in line with Grinold and Kahn's methodology, taken from Active Portfolio Management, 2nd ed. On p.311, they suggest transforming the raw ...
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344
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How can I forecast future correlation?
There are some standard models for forecasting volatility (e.g., GARCH) and for forecasting returns (e.g., factor models). What kind of standard models exist for forecasting future correlation between ...
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Normalization of Market Data in Time Series Correlation
Suppose we have 2 time series of market data, one for each security and we want to correlate between these 2 securities. My question is
How do we handle gaps of missing data in the time series? ...
- 21
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What stock market indicators to model based on twitter feed? [closed]
We are developing an algorithm that models twitter users and groups of words that may indicate real world events.
One application is modelling elections, i.e which party is likely going to win. ...
- 747
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Rolling window Kendall's tau against APARCH(1,1) correlation
Assume you want to forecast the correlation matrix of a stocks' basket (say 15 ~ 20 stocks from different sectors); assume you need to forecast at $T$ days because you will use the forecast ouput with ...
- 2,133
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The T+H Problem in Factor model forecasts
Suppose we train on M individuals consisting of T observations (i.e. TxM design matrix). The dependent variable is one-year return for each security (H = horizon of one year). In a factor model ...
- 13.5k