Questions tagged [forecasting]
The forecasting tag has no usage guidance.
22
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38
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6
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How to estimate real-world probabilities
In the world of finance, Risk-neutral pricing allow us to estimate the fair value of derivatives using the risk free rate as the expected return of the underlyings.
However, the behavior of ...
- 1,471
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 ...
- 27.5k
28
votes
8
answers
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How are cryptography and speech recognition technology applied to forecasting financial markets?
One of the answers to my previous question regarding the strategy of Renaissance Technologies, there was a reference to The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly ...
- 27.5k
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
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
20
votes
3
answers
3k
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What type of analysis is appropriate for assessing the performance time-series forecasts?
When using time-series analysis to forecast some type of value, what types of error analysis are worth considering when trying to determine which models are appropriate.
One of the big issues that ...
- 757
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 ...
- 193
18
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2
answers
2k
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How to forecast expected volatility from high-frequency equity panel data?
I'm wading through the vast sea of literature on realized volatility estimation and expected volatility forecasting (see, e.g. Realized Volatility by Andersen and Benzoni, which cites 120 other papers,...
- 13.5k
11
votes
1
answer
1k
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Is volatility for the next day forecastable? To any extent?
In a more general way: is there
1) a methodological approach to quantify the correctness of a model that produces a probability distribution for the, say, S&P 500 index return for the next ...
- 153
7
votes
2
answers
1k
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How do you synthesize a probability density function (pdf) from equally weighted price data?
What I'm working with:
I have a collection of prices that has very few to no repeating values (depending on the look back period) ie each price value is unique, some prices are clustered and some can ...
- 85
3
votes
0
answers
583
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Oscillatory time-series forecasting
I was wondering if this mean(160)-reverting/oscillatory time series "SUM" can be considered chaotic & forecastable to some extend short-term?
http://sg.myfreepost.com/sgTOTO_analysispower.php?...
- 131
3
votes
2
answers
294
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How to interpret and define statistics of GBM output
I am trying to model the future prices of a number of commodities. For this, I am applying geometric Brownian motion, writing a Monte Carlo code in Python. Given that I want to estimate tommorows ...
- 51
2
votes
1
answer
2k
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Forecast 3m LIBOR USD. Budget purpose
How can I calculate/budget/find a expectation for the 3 month LIBOR for the next 3monts-4 years?
I am calculating a CF scenario on USD 3month Libor + margin. With swaps and fixed rate this is easy, ...
- 21
1
vote
1
answer
613
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Constant decreasing volatility, GARCH forecasting
I am trying to forecast the volatility using GARCH modelling in R.
I fit an ARMA(1,1)-GARCH(1,1) model, but my sigma predictions are constantly decreasing. Anybody know why?
...
- 121