Remembering veterans: Box and Jenkins - page 8
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1. Recognised non-stationarity. In 1972, it is strong in an efficient market.
2. Showed a way to deal with both non-stationarity and modelling an initially non-stationary quotidian.
3. Formulated the requirement of model reversibility.
What has trading got to do with it? What does it have to do with it?
Hello. Analysis for prognosis.
set a trading objective - what are we forecasting?
What is the use of Brukiv with his so-called "predictions" of the exchange rate of the quid, when there is a more sensible book: "Mathematics in Economics" by S. Yudin. V. Yudin?
At least Yudin doesn't get hung up on econometrics and gives examples of various applied economic (and not just economic) problems. Moreover, the software in Yudin's book is not proprietary, i.e. one does not have to buy a pig in a poke to solve some meaningless econometric problems.
Thanks for the book. Very interesting indeed. I love these.
set a trading target - what are we predicting?
Me? Now the trend. Optionists - volu, portfolioists - risk. And you?
I don't know the work of the gentlemen in the thread, so I'd rather talk about you.
how do you predict the trend - what exactly is predicted and when? For example, in another thread you were predicting the rate of an asset P1,P2,....,PN at discrete points in time t1,...,tN. And you are making the forecast continuously. It is an unrealistic task. Now what is the prediction formulation?
Me? It's trending right now. The options people are vol, the portfolio people are risk. What about you?
how do you predict the trend - what exactly is predicted and when? For example, in another thread you were predicting the rate of an asset P1,P2,....,PN at discrete points in time t1,...,tN. And you are making the forecast continuously. It is an unrealistic task. What is the prediction formulation now?
Yes, one step ahead.
In this thread I'm remembering veterans and that's it. Just remembering in a substantive way, within the framework of the book, vinin gave the link.
Yes, one step further.
In this thread, remembering veterans and all. Just remembering in a substantive way, as part of the book, vinin gave the link.
so what does this have to do with trading? To assess their merits, we need to figure out how to apply their theories so that the practical task is set in a realistic way. And so it turns out that we set the problem so that we can stretch the solution to econometrics:)
so what does this have to do with trading? To assess their merits, we need to figure out how to apply their theories, so that the practical problem is set in reality. And so it turns out that we set the problem so that we can stretch the solution to econometrics :)
Once again. Struggling with non-stationarity to be sure of the prediction. What to predict is determined by your model, your dependent variable, not Box and Jenkins.
That's odd. And in the beginning it was all about them. Turns out they weren't even necessary. Then what's the point of this thread?