<we><edit> <!-- questions and answers -->
swaps
risk-models
high-frequency
market-making
quantlib
optimization
market-data
stochastic-processes
regression
finance-mathematics
statistics
options
matlab
pricing
risk-management
machine-learning
risk
returns
currency
delta
portfolio
econometrics
portfolio-optimization
garch
black-scholes
time-series
Up and Down days in GBPUSD and a Filter
time-series
trading
backtesting
Getting data of sub-sector indexes of an S&P 500 index sector using QuantMod in R
time-series
programming
spx
equity-curve
Generating surface of Kernel Density Estimates over time
time-series
python
density
Why does the Weak Form of Market Efficiency and Markov Property hold?
equities
time-series
markov
market-efficiency
Why (most) quants think that the risk-neutral measure should not be used for financial forecasting?
time-series
risk-neutral-measure
forecasting
stochastic-discount
Time series edge minmax probability
time-series
ARMA+GARCH prediction with package rugarch (R)
time-series
r
garch
prediction
arma
Price is Log-normal distributed, yet the return is non-normal
equities
time-series
returns
normal-distribution
lognormal
Fitting Copula and Simulation
time-series
garch
copula
Close and Adjusted Close in Interactive Brokers API and Yahoo Finance
time-series
market-data
interactive-brokers
yahoofinance
ohlc
Shannon's entropy for financial times-series (return)
time-series
research
python
Determine GARCH(1,1) from a mean reverting time series recursion
time-series
garch
variance
heston
Interpreting ACF/PACF of return series
time-series
auto-correlation
arima
lags
R Calculate future price range and plot the result
time-series
programming
statistics
probability
Augmented Dickey-Fuller Questions
time-series
statistics
Log-periodic power law model: is it a continuous or discrete-time process?
time-series
finance
Fractional Brownian motion - probability density function of the increments
time-series
stochastic-processes
fractals
R Mean Reversion Estimate on Funds
time-series
programming
mean-reversion
Estimate an AR(1) model from returns
time-series
finance
Creating a synthetic future
time-series
futures
rebalancing
synthetic
Are two identical time series cointegrated?
time-series
cointegration
statistics
How to convert weekly data to monthly in r (or in Julia)
time-series
finance
statistical-finance
data-mining
Interpretation Trend/Cycle Filter
time-series
paneldata
ARMA-GARCH Forecasting
time-series
programming
garch
arma
How to use exponential smoothing for trading?
time-series
data
quant-trading-strategies
algorithmic-trading
machine-learning
Why should we care if the "squares of returns are independently distributed over time" to choose an adequate model of the distribution of returns?
time-series
returns
distribution
expected-return
asset-returns
Where to find historical fundamental data of S&P constituents in Thomson Reuters database?
time-series
historical-data
database
fundamentals
reuters
Categorizing different periods of time series data
time-series
quant-trading-strategies
mean-reversion
indicator
momentum
Reverse chronological time-series / inverse time-series
time-series
Trouble computing the VaR for Student's t-distribution for a minimum-variance portfolio composed of four cryptocurrencies (BTC, ETH, LTC, and XMR)
time-series
portfolio-management
portfolio-optimization
modern-portfolio-theory
mean-variance
Is the average of independent Brownian Motions still a Brownian Motion?
time-series
stochastic-calculus
brownian-motion
What is a good algorithm to predict volatility in metals commodity markets?
volatility
time-series
forecasting
machine-learning
commodities
Europe Biotechnology market index data series
time-series
market-data
historical-data
european
adding dummy variable to ts object in r for particular quarter
time-series
dummy
Choosing the right statistical test for Mutual Fund Performance Evaluation
time-series
portfolio-management
finance
regression
econometrics
Online algorithm for calculating EWMA at irregular intervals?
time-series
algorithm
Imposing Restrictions on Cointegrating Vectors, R example
time-series
r
var
cointegration
which method is the roubust method to estimate the Hurst parameter?
time-series
statistics
statistical-finance
continuous-time
Application of time series analysis to Bitcoin prices
time-series
market-data
trading
bitcoin
blockchain
Which library shall I use for time series analysis in Java?
time-series
programming
library
Is my data fittet to be significant?
time-series
regression
return
overfitting
principal component analysis on non stationary data
time-series
pca
covariance-matrix
stationarity
VaR estimation when returns are not independent, e.g. ARCH
time-series
risk
garch
var
arch
How to know if a time series is trending or mean reverting?
time-series
forecasting
trends
hurst-exponent
Calibration of a GBM - what should dt be?
time-series
simulations
brownian-motion
calibration
How to find coefficient that will minimize the distance between few times series
time-series
programming
optimization
tracking-error
What is a stationary process?
time-series
stochastic-calculus
stationarity
terminology
Hourly Returns Statistical test
time-series
Testing whether a process is a Wiener process
time-series
programming
brownian-motion
regression
validation
Looking at distribution of yearly returns of time series
equities
time-series
returns
Counterintuitive time varying Beta with Kalman filter
time-series
r
correlation
beta
kalman
Information criteria via different GARCH models
time-series
garch
Estimate conditional SD with rugarch package for different series than what used for model estimation
volatility
time-series
garch
Time Series analysis --- Overnight gap
time-series
How can I compare 30 day implied volatility forecasts with GARCH forecasts?
volatility
time-series
implied-volatility
garch
stochastic-volatility
Granger causality with stocks and CDS
time-series
returns
econometrics
cds
Binary probit model: relevant which outcome is 1?
time-series
probability
Applications for missing data, artifacts/spikes
time-series
modeling
financial-engineering
digital-signal-processing
missing-values
What is the best way of updating data while using Empirical Mode Decomposition to analyze
time-series
digital-signal-processing
VAR models when examining relationships between financial markets
time-series
models
cds
lags
Is a linear combination of GARCH processes also a GARCH process?
time-series
mathematics
garch
econometrics
Investigating a question: "Does commodity price volatility scale with price level?"
time-series
garch
commodities
Data Issue: Observations in Portfolio Construction
time-series
Wavelet transform (the à trous time-based decomposition) in R
time-series
forecasting
financial
DCC GARCH: specifying ARCH and GARCH parameter matrices in STATA
volatility
time-series
garch
multivariate
time series for futures roll
time-series
futures
roll-adjustment
Mean and standard deviation of price series with Kalman
time-series
modeling
mean-variance
standard-deviation
kalman
Performance of Open Source Time Series Database for Financial Market Data
time-series
database
Two time series similarity with slightly offset timestamps
time-series
correlation
Is my demand prediction too low?
time-series
forecasting
Detecting stochastic volatility
volatility
time-series
stochastic-volatility
auto-correlation
Calculation of dividend yield from index returns
time-series
market-data
returns
dividends
Dealing with misaligned dates for trend-following strategy?
time-series
data
Most GUI user friendly Time series Econometrics software for modelling and Forecasting GARCH models
time-series
garch
forecasting
econometrics
software
z-score versus log standardisation of stock prices for calculating correlation; which to use (in ML clustering, distance measure)?
time-series
correlation
machine-learning
log-returns
cluster
PLS-Path Modeling on time series
time-series
Questions on the concept of GARCH model
time-series
garch
Quantmod - converting daily data to weekly data (changing time intervals from monday to monday)
time-series
quantmod
How to check if relationship between two variable changes over time?
time-series
fx
commodities
Error when trying to estimate a Markov-switching Var model in R
time-series
r
markov-switching
Correct procedure for modelling GARCH for forecasting volatility of stock Index returns
volatility
time-series
garch
forecast using rugarch in r
time-series
programming
What's the exact definition of alpha?
equities
time-series
portfolio-management
performance-evaluation
Squared and Absolute Returns
volatility
time-series
statistics
auto-correlation
stationarity
Data on morocco exchange reserves
options
time-series
data
fx
exchange
Combine future contracts into time series
time-series
programming
futures
backtesting
Rotations and Shifts in the f-GARCH News Impact Curve
time-series
garch
How much data is needed to validate a short-horizon trading strategy?
data
time-series
backtesting
quant-trading-strategies
arbitrage
Lagged dependent variable, yes or no?
time-series
regression
paneldata
lags
Forecasting volatility with rugarch and Covariance Matrix
time-series
programming
garch
portfolio
forecast
Reference request: Quantitative approaches to market abuse detection
time-series
market-microstructure
neural-networks
VEC GARCH (1,1) for 4 time series
volatility
time-series
r
garch
multivariate
Historical Daily/Monthly NAV for Closed End Funds - known duplicate but unanswered previously
equities
time-series
programming
GARCH model and prediction
time-series
programming
garch
prediction
Economic variables' influence on stock market volatility: cross section vs. time series
volatility
time-series
regression
Is this a viable method for testing market making strategies?
time-series
high-frequency
market-making
Mean reverting process with observation
time-series
kalman
arima
Reliable data sources of 1,2,3,5,10,30,60,320 minute S&P500 O,H,L,C,V data
time-series
futures
index
Use of ACD to model transaction durations
time-series
market-microstructure
econometrics
models
duration
Bulk volume algorithm and CDF
time-series
algorithm
volume
trade