Tag Archives: Econometric

Throughts on econometric forward looking data that drives stock and forex market

 

Throughts on econometric forward looking data that drives stock and forex market

https://tradingeconomics.com/

https://fred.stlouisfed.org/tags/series

https://www.instituteforsupplymanagement.org/ismreport/mfgrob.cfm?SSO=1

http://www.qmatix.com/

Question from a Quant Analytics member 

Order Analytics

 

my main question was to analyse economic data with ETF and stocks, see if there are any correlations within them and see signals can be generated for entries. 

there are few meetups here with algo but none are good, one is a scam! i found through a friend who contracted to work there.

they charge people around 10k teaching them but it is from a someone who has no experience.

Okay, so before I go crazy on building my fundemtal quant model based on economic data. do you really think ‘I should go down that path?

For eg, one data set: ISM data. analyse correlation with the sp500, analyse the time it takes the sp500 going same direction as the data. I guess kinda change some parameters and crunch the data and see the results.

from the site https://www.instituteforsupplymanagement.org/ismreport/mfgrob.cfm?SSO=1

scrap through the site and collect the industry information on growing and contracting, and quantify it with some weight.(similar to antons reports in excel showing the sector) then crunch data with sector ETF and see if there are any correlation as well. What do you think my direction?

my main question was to analyse economic data with ETF and stocks, see if there are any correlations within them and see signals can be generated for entries. 

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Screw China econometric data and Quandl?

Screw China econometric data and Quandl?

After trying to download FREE data from China for PMI and other econometric, it seems I have no real incentive. With both FRED and Eurostats freely available, I see now have no reason to track China. With their government not to be trusted with their latest shenanigans wanted to be a free capitalist economies are now true morons. They will never achieve to be who they want to be. In fact, there is talk of them being booted out of their sought after SDR program. A a result, I am not going to kill myself.

There is also this site from the government:

http://data.stats.gov.cn/english/swf.htm?m=turnto&id=1

Many don’t trust it. I am also not going to automate my system to have to login to get data. As said, FRED and Euro Stats is freely available with log in needed.

To add that Quandl the free data source does not appear to work anymore. I am using Python as instructed at their GitHub repo.

https://github.com/quandl/quandl-python

Using PyCharm, I now get this error:

  error = (“Unknown response ({r}). Please copy and paste the error output, and the file you are running, and email us at connect@quandl.com. We will help you fix your error ASAP.”.format(str(resp.status_code)))
KeyError: u’r’

It seems you need an API key which I always had so I plugged it in. As a result, it does not work as advertised. A bug? Or do I need to now pay?

As I try to download from

https://www.quandl.com/data/SGE/CHNMPMI-China-Manufacturing-PMI

There is that dreaded:

Premium Data

View Database Pricing

Get Free Trial Access

Please create a Quandl account to get immediate trial access to this premium database.

I also sent out questions to Quandl over a month ago. No response. So they are not to be used as a ‘trusted’ source. $185 per month is pretty steep so I ain’t moving forward with it.

In summary, no China no Quandl. Let’s move onto the free source like FRED and Euro Stats as I have demoed before.

My search results of my Quandl videos:

https://www.youtube.com/user/quantlabs/search?query=quandl

 

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Here is that demo in Python for Euro Stats:

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Matlab webinar on Cointegration and Pairs Tradin with Econometric Toolbox download

Matlab webinar on Cointegration and Pairs Tradin with  Econometric Toolbox download

Thanks for a member for sending this.
>
> I recently came across a bunch of Matlab webinars and one of them was
> titled ‘Cointegration and Pairs Trading with Econometrics Toolbox’. I
> was wondering whether you have seen that one already. As this is a
> subject that you were rolling fairly recently in the Quantlab
> Services. (see attached screenshot).
>
> Anyway, if you’re interested you can download whole webinar from the link below.
>
> http://rapidgator.net/file/2c50614393fab85a1405374fd17cdc86 [1]

 

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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 or what I eat!