Tag Archives: ARMA Models

Forecasting Financial Markets – Part 1: Time Series Analysis

The presentation in this¬†post covers a number of important topics in forecasting, including: Stationary processes and random walks Unit roots and autocorrelation ARMA models Seasonality Model testing Forecasting Dickey-Fuller and Phillips-Perron tests for unit roots Also included are a number … Continue reading

Posted in ARMA, Econometrics, Forecasting, Purchasing Power Parity, Time Series Modeling, Unit Roots, White Noise | Tagged , , , , , | 1 Comment

Regime-Switching & Market State Modeling

The Excel workbook referred to in this post can be downloaded here. Market state models are amongst the most useful analytical techniques that can be helpful in developing alpha-signal generators.¬† That term covers a great deal of ground, with ideas … Continue reading

Posted in ARMA, Econometrics, Fat Tails, Forecasting, Markov State Models, Regime Shifts | Tagged , , , | 10 Comments