Tag Archives: time series

“You can keep blaming your parents for your life in your 20’s, but by the time you’re 30 it’s your own fault.” —having a difficult time getting an original source on this quote This is like unknotting an autoregressive term … Continue reading

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@IgorCarron blogs recent applications of compressive sensing and matrix factorisation every week. (Compressive sensing solves underdetermined systems of equations, for example trying to fill in missing data, by L₁-norm minimisation.) This week: reverse-engineering biochemical pathways and complex systems analysis. (Source: … Continue reading

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Financial Time Series

One of the negative reviews of my DIY MFE piece said the following: Financial markets are nothing more than an infinite time-series Of course, it was a recent grad saying this. I would like to respond with a parable. Once … Continue reading

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GARCH stands for Generalized Autoregressive Conditional Heteroskedasticity. To translate, skedasticity refers to the volatility or wiggle of a time series. Heteroskedastic means that the wiggle itself tends to wiggle. Conditional means the wiggle of the wiggle depends on something else. … Continue reading

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Contrary to the recently popular “behavioral” approach which proposes to take advantage of economic “irrationality”, I suggest that value-added comes from creating investments with more [psychologically] attractive risk-sharing characteristics. Andrew Lo & Craig McKinlay, A Non-Random Walk Down Wall Street

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Examples of time series include the water level of the Nile river in Egypt, sun spots, the stock market close price for IBM, a digital recording of a Jazz pianist playing at a night club (in this case the time … Continue reading

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