All Questions
Tagged with forecasting high-frequency
9
questions
1
vote
2
answers
589
views
Volatility forecast for 5-minute frequency data
I have high frequency data for financial stocks (5-minute periodicity) and I want to forecast volatility.
I'm familiarized with the usual ARCH/GARCH models and their variants for daily data but after ...
- 11
3
votes
1
answer
393
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Is there a HAR that deals with the leverage effect?
The EGARCH is a special GARCH model that treats the leverage effect of the volatility. The HARV does not make a distinction between negative and positive returns. Is there a special HARV that deals ...
- 2,806
0
votes
2
answers
117
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Financial forecasting and Optimal order submission [closed]
For instance, If i have a model that can accurately forecast 3s ahead, would the trading logic be rather trivial? I have fit a series of distributions to L2 data and believe I have a fairly good grasp ...
- 183
4
votes
2
answers
370
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Forecast of volatility
What are the well known methods for forecasting (daily - weekly - monthly) volatility of a stock price? How about a bond price?
Let's say I have in my disposition the price time series at a very high ...
- 43
10
votes
2
answers
4k
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How to forecast high-frequency data?
Introduction: I have seen a plenty of articles/books regarding volatility forecasting applied to high frequency data, but none of them were dedicated to forecasting the actual prices (for example bid/...
3
votes
1
answer
830
views
How would you correct a GARCH model to deal with non mean reverting volatility?
I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...
- 61
9
votes
4
answers
800
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Position management in presence of continuous forecast
Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
- 459
37
votes
4
answers
10k
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What types of neural networks are most appropriate for trading?
What types of neural networks are most appropriate for forecasting returns? Can neural networks be the basis for a high-frequency trading strategy?
Types of neural networks include:
Radial Basis ...
- 471
26
votes
3
answers
5k
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How to forecast volatility using high-frequency data?
There is a large literature covering volatility forecasts with high-frequency tick data. Much of this has surrounded the concept of "realized volatility", such as:
"Realized Volatility and ...
- 9,245