Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [time-series]

A temporal sequence of events measured at discrete points in time.

Time series analysis uses methods to extract meaningful information and statistics about a particular time series.

Time series forecasting uses the results of time series analysis to predict future events. For example, a temporal observation set of stock closing prices represents a time series, while time series forecasting is an attempt to predict a future closing price of that stock.

Time series can be uniformly sampled (one observation every day) or event based (one observation each time a trade is done, like tick by tick tapes). The techniques to work with these two stochastic processes of different nature are not the same.

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Can the concept of entropy be applied to financial time series?

I am not familiar with the concept of entropy for time series. I am looking for good reference papers and examples of use.
RockScience
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What should be considered when selecting a windowing function when smoothing a time series?

If one wants to smooth a time series using a window function such as Hanning, Hamming, Blackman etc. what are the considerations for favouring any one window over another?
babelproofreader
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What is the variance risk premium?

Can someone provide an intuitive understanding of the variance risk premium? I am very confused by this definition and cannot interpret my time series analysis.
Ryan J. Shrott
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estimating the accuracy of a method for forecasting the distribution

Say for a stock I want to do a simulation using 30 days of historical returns, and maybe generate 1000 paths, with 2 days as the forecast horizon. Say I have 100 of these 5 day blocks used for generating the distribution, matched with the actual…
user468
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Proof of the fact that roots lie outside the unit circle guarantee stationarity of the time series

For an AR(p) process $$\begin{align} y_t &= \mu + \phi_1 y_{t-1} + \phi_2 y_{t-2} + \cdots + \phi_p y_{t-p} + \epsilon_t \\[4ex] &y_t (1 - \phi_1 L - \phi_2 L^2 - \cdots - \phi_p L^p) =\mu + \epsilon_t \end{align}$$ with $Ly_t=y_{t-1}$ The roots of…
Antoni Parellada
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Why OLS in Fama French time series regression?

I read many papers on asset pricing and have some basic doubts regarding Fama French Time series regression: We have time series data, but still it is a simple OLS we run in FF model. Then why it is called Fama French time series regression? They…
Priya
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What's the difference between SA and SAAR?

I've only recently begun working in the quantitative finance field, and I've noticed that some time series I'm given are labeled "seasonally adjusted", and some labeled with "seasonally adjusted annual rate". What's the difference between these two…
eykanal
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knowing the order of GARCH model

I want to ask if there is a situation to know the order of GARCH(p, q) from the result. For example, in the case of AR(p), one can know the value of p by plotting pacf(). In case of MA(q), one can know the value of q by plotting acf(). Is there any…
Ashenafi
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Is there an appropriate sequence to tests during model diagnosis?

How should one order (sequence) the following tests? Stationarity test Johansen cointegration test Normality/Histogram test Autocorrelation test Heteroskedasticity test Multicollinearity test Or, does the sequence not matter?
Eyob Yimer
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How to obtain Standardized Residuals from a Time-Series?

I have my estimates for an AR(3). To obtain the residuals I'm supposed to use $$Y_t-\hat\phi_0-\hat\phi_1Y_{t-1}-\hat\phi_2Y_{t-2}-\hat\phi_3Y_{t-3},$$ where the Y's are from the dataset. If I do this, won't I get a smaller number of residuals than…
An old man in the sea.
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Value Weighted Return

I recently have started to look at some data from CRSP, and they have a metric called Value Weighted Return (two versions with and without distributions). When I looked it up, it seemed that this metric was not used anywhere else, and the…
soandos
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Defining the Average Length of Business Cycle using AR(p) model

I'm currently reading through Analysis of Financial Time Series by Ruey Tsay. The AR model is introduced in chapter 2 and its properties in 2.4.1. The difference equations are explained and then its stated (for an AR(2)) that if $\phi^2_1 - 4\phi_2…
IDontKnowCode
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A question about stationarity and ergodicity

Given daily returns of a stock index over 50+ years, a homework question asks: Plot the annual sample mean and variances of the returns and their absolute values. Are these estimates in agreement with the assumption of an ergodic time…
Dasum
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Time Series analysis --- Overnight gap

I am doing some time series analysis on some 5 minute bar stock data. If I want to specifically focus on data during trading hours and ignore any pre and post market activity, how would I effectively conduct time series on a disjoint set of…
bob
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Data Issue: Observations in Portfolio Construction

Question With 60 data observations, how do I construct a time series analysis properly? How to do Certain Calculations such as covariances on data with Gaps and Inconsistencies? Background of Question I'm currently setting out on doing an…
Cormac Murphy
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