All Questions
Tagged with forecasting modeling
13
questions
1
vote
0
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51
views
How do I deal with nonexistant data in a time series with an irregular frequency?
I am trying to do some time series analysis on the margin resulting from three specific commodity futures contracts and ultimately forecast the margin. The margin is calculated as M = F1 + F2 - F3. I ...
0
votes
1
answer
940
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Exponential Smoothing - Alpha greater than 1
Simple stats question.
I'm having trouble finding anything in the literature as to why the smoothing coefficient can never be greater than 1. This question was started by me doing time series ARIMA ...
0
votes
4
answers
158
views
How to test the linearity assumption of a model?
Let's say I want to have a model that projects income over a stressed period. I have a marked-to-market component that shows the P&L of trading book positions during this stressed period. Along ...
2
votes
1
answer
3k
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Is this the correct way to forecast stock price volatility using GARCH
I am attempting to make a forecast of a stock's volatility some time into the future (say 90 days). It seems that GARCH is a traditionally used model for this.
I have implemented this below using ...
-1
votes
1
answer
54
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How to interpret the accuracy result of the forecaste?
I'm trying to forecast the vacancy rate of multifamily rental property. I have the data from 1992 until today. I'm trying to fit a model with the serie without the last 2 observations.
I only need ...
0
votes
1
answer
651
views
Trouble understanding lookahead bias
I understand lookahead bias is pretty common industry knowledge. But I cannot wrap my head around how I am introducing it and could use a nice and easy explanation. Here's my thought process.
I have $...
1
vote
0
answers
58
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How to reduce data dependence for empirically assessing option pricing model performance?
I am preparing a paper about mitigating assessment failures for option pricing models. For the sake of simpliciy, suppose we are talkin about European options. In basic terms, what I would like to say ...
40
votes
5
answers
8k
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Why aren't econometric models used more in Quant Finance?
There is a big body of literature on econometric models like ARIMA, ARIMAX or VAR. Yet to the best of my knowledge practically nobody is making use of that in Quantitative Finance. Yes, there is a ...
6
votes
3
answers
2k
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Modelling and forecasting mixed frequency financial data
I was wondering if someone could provide some guidance to me. I would like to
Combine various financial data of mixed frequencies (some daily,
weekly, some quarterly) to a composite index. I have ...
0
votes
1
answer
1k
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How to forecast bond price with time series
I have the goal of being able to develop a model that can forecast the future prices of european government bond (or other private bonds), particularly from the historical prices and returns of the ...
2
votes
1
answer
159
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To understand FOMC events and its impact on the market
Last month when FOMC meeting decision went out that fed would start to exit QE3, immediately we saw a deleveraging effect: SPY went down, GLD went down, and LQD (bond) went down, but US dollars went ...
5
votes
1
answer
815
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Coin Toss System
Coin Toss Runs Calculator
The expected number of runs for two consecutive heads or tails is 3. Is there an edge if we place a progressive constant size bet(limited to 3 times)for consecutive ...
2
votes
0
answers
266
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Modeling asset performance to Bitcoin revenue
I'm attempting to model asset performance to Bitcoin revenue, which is a driving force in the Bitcoin community.
Question
Is there any model, or research being done that tracks "hashes per second" (...