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ARIMA

Best references with notes and Youtube videos for ARIMA model forecasting and R script

Best references with notes and Youtube videos for ARIMA model forecasting and R script For notation: http://www.duke.edu/~rnau/411arim.htm http://faculty.chicagobooth.edu/john.cochrane/research/papers/time_series_book.pdf http://en.wikipedia.org/wiki/Autoregressive%E2%80%93moving-average_model   Youtube videos: ARIMA demo using NAG: http://www.youtube.com/watch?v=74dUsqf0eBw&sns=em For R script demo: http://www.youtube.com/watch?v=zFo7QixEKvg&sns=em Notes for R script video: Stationary want it one stationary (acf does not tail off quickly) so difference with diff You also want …

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Quant analytics: More Q&A from a member about paid vs free market data source and time frequency with ARIMA

Quant analytics: More Q&A from a member about paid vs free market data source and time frequency with ARIMA Questions from a member: I reviewed the links. I see all literature its about stocks…. Are there some examples with R code with Forex for cointegration? Why Lmax is candidate to forex trading? What do we …

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Note to thyself for quant anlytics TOP 3 strategies: ARIMA, Pairs Trading, Moving averare

As per this survey: http://quantlabs.net/surveys/2012/06/29/what-financial-forecasting-model-type-do-you-focus-on-within-r-or-other-statistical-tool/ These are three I am going to initially focus on: ARIMA-currently being worked on but still heavily until quant analysis through time series Moving Average-pretty popular technical strategy that people get, looks easy to implement Pairs Trading-same reasons as moving average The other strategies listed are pretty advanced which are …

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What does parallelize ARIMA mean? I google “parallelize ARIMA” but no hits

Question from a Linked In friend: Hi Bryan, It’s been a while since we have spoken. Hope you are doing well! What does parallelize ARIMA mean? I google “parallelize ARIMA” and I get no hits. Please explain this. Basicallty, watch my video to understand what ARIMA is and the potential of it: Paralellizing means you …

What does parallelize ARIMA mean? I google “parallelize ARIMA” but no hits Read More »

Is the best way to parallelize ARIMA in R using the quantstrat and backtest R packages?

I wondered about this post. http://quantlabs.net/r-blog/2012/08/is-the-smartest-way-to-parallelize-this-arima-function-within-r-only-for-windows-use-quantstart-and-backtest-r-packages/ I really don’t want to hack the R packages to parallelize from within those. If you got a better suggestion, please let me know by commenting. NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don’t worry as I don’t post stupid cat videos …

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Discover which forecasting model’s the clear winner amongst trading professionals right now. ARIMA, AR(12, AR(2), etc

Hi there This is Bryan again. I just want to remind you of something important. I recently posted a survey of all the popular forecasting models used by trading professionals. The results so far? Right now it looks like ARIMA is the hottest forecasting algo out there. Do you know exactly how to use ARIMA …

Discover which forecasting model’s the clear winner amongst trading professionals right now. ARIMA, AR(12, AR(2), etc Read More »

Where’s that price going next? How to use ARIMA models to forecast price movement

Hi there, One of the most important things in trading is figuring out where the price is going in the next few seconds, minutes or hours. After all, you’re unlikely to make money without an “edge” that gives you an advantage over the market. So let me briefly introduce you to ARIMA (“Auto-Regressive Integrated Moving …

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The secret shortcut to valuation when regular analysis fails: Using Monte Carlo and a ARIMA models with MA AR(1) or AR(2) simulation

The secret shortcut to valuation when regular analysis fails: Using Monte Carlo and a ARIMA models with MA AR(1) or AR(2) simulation Hi there, Are you interested in accurately valuing complex options and other derivatives … as well as fixed income instruments? And doing it faster than your competition? It’s not very straightforward to get …

The secret shortcut to valuation when regular analysis fails: Using Monte Carlo and a ARIMA models with MA AR(1) or AR(2) simulation Read More »

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