time-series

By José Carlos Gonzáles Tanaka Prerequisites This blog is a hands-on tutorial that walks you through the math behind the ARIMA model and how to implement it as a backtesting strategy for stock trading. You'll not only learn how to apply ARIMA models but also how to enhance your results with advanced concepts and references. To get the most out of this blog, it’s essential to build a strong unders…

By José Carlos Gonzáles Tanaka The basic Vector Autoregression (VAR) model is heavily used in macro-econometrics for explanatory purposes and forecasting purposes in trading. In recent years, a VAR model with time-varying parameters has been used to understand the interrelationships between macroeconomic variables. Since Primiceri (2005), econometricians have been applying these models using macr…

Autocorrelation is a statistical concept that measures the correlation between observations of a time series and its lagged values. It is commonly used in various fields, including trading for technical analysis, to identify patterns, trends, and relationships within data. Autocorrelation helps analyse the dependence between past and present values and provides insights into the persistence or re…

Updated by Chainika Thakar (Originally written by Devang Singh) To fully grasp how mean reversion works and its application in trading, it’s essential to first understand the fundamentals of time series analysis. Pre requisites Begin with Introduction to Time Series to learn about the significance of time series, how to analyze trends, and various forecasting techniques. A solid understanding of …

Updated by Chainika Thakar (Originally written by Mandeep Kaur) Since predicting the future stock prices in the stock market is crucial for the investors, Time Series and its related concepts hold an exceptional quality of organizing the data for accurate prediction. In this article, let us read through the importance of Time Series, its analysis and forecasting. Here, some of the essential subto…

By Vibhu Singh, Varun Divakar and Ashish Garg This blog covers the Hurst exponent, a crucial concept in time series analysis, which helps in identifying whether a time series is mean-reverting, random, or trending. Before diving into this topic, it is essential to build a strong foundation in time series concepts. Pre requisites Start with Introduction to Time Series, which explains the fundament…