All Questions
Tagged with forecasting trading
6
questions
1
vote
1
answer
232
views
Low-rank approximation techniques for portfolio optimisation
I am trying to understand how low-rank approximation techniques such as PCA, factor analysis, total least squares, orthogonal regression, etc could be used in portfolio optimisation. Say I have a ...
- 81
5
votes
2
answers
697
views
Predicting the Future FX Spot Rates
Say I need to predict what the spot rate between USD and CAD will be in 3 months. What will be the most accurate measure or model that I could possibly use? Does the 3 month forward rate necessarily ...
- 1,074
2
votes
1
answer
1k
views
HAR-RV, realized GARCH and HEAVY model for realized volatility
I don't have much experience with volatility modeling using intraday data but I'm in the process of collecting 5mins data. Currently I have ~6 months of data. Is it enough to use these models with ...
- 569
1
vote
1
answer
2k
views
Selecting timeframe for time series analysis
In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now.
Similarly, if we use time series forecasting methods to predict(say daily data-whether S&...
- 131
2
votes
2
answers
675
views
Evaluating forecasting algorithm
I am trying to evaluate a forecasting algorithm for stock price prediction. However, the performance of the algorithm may be very much tied to the trading strategy.
Is there a systematic way for ...
- 167
11
votes
4
answers
2k
views
Can the futures market's open interest predict commodity, treasury, and equity returns?
I came across this article and became curious. Can the futures market's open interest really predict market action?
- 1,044