Conda 101
Time Series Analysis (P2) – White Noise and Random Walk
Outline
- Recap
- Time Series Models
- What is a time series model?
- White Noise
- Random Walk
- Fit Random Walk Models to Financial Data
- Fit to Simulated Data
- Fit to Financial Data
- References
Recap
In the last article, we discussed what time series analysis is. Time series analysis aims to provide us a robust statistical framework to understand the behaviour of time series, learn from the past and predict the future. We discussed two important statistical concepts in time series analysis, stationarity and serial correlation. In this post, we will make use of the concepts, particularly serial correlations to start the topic on time series models. Original code is available here.
Read More »Time Series Analysis (P1) – Beginner’s Guide
Outline
- Motivation
- The Basics
- What is Time Series Analysis?
- Stationarity
- Serial Correlation
- Statistical Tests
- Helper Functions
- Simulations
- References
Motivation
I am thinking of writing a TSA series for a while. Not only to consolidate the knowledge I’ve learned, but also hope the sharing can help some of you get started in quantitative finance easily.
The series will cover basic statistics and various time series models, from linear ones to machine learning models. Both simulated data and real financial data will be used to demonstrate how to apply different models to tackle different tasks and all the code is available here. The post is inspired by the great work of other bloggers as well. See References.
NOTE: Corrections and further explanations on the series will be made from time to time.
Read More »Everything That Rises Must Converge!
Remain true to yourself, but move every upward toward greater consciousness and greater love! At the summit you will find yourselves united with all those who, from every direction, have made the same ascent. For everything that rises must converge.
Pierre Teilhard de Chardin
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