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COURSES USING THIS WORKBOOK
Forecasting
Financial Markets
Forecasting:
Time Series Analysis
CONTENTS
WORKBOOK 1 ARMA Modeling
Exponential smoothing
MAD,
MSE, MPE, Theil's-U
Regression models
Auto-and
partial autocorrelation
ARMA
modeling
Box-Jenkins analysis
Maximum
Likelihood Estimation
Portmanteau tests
Forecasting WPI
SP500
index regression model
Dickey-Fuller test
Performance measurement
WORKBOOK 2
ARCH & CHAOS MODELS
ARCH
models
ARCH-M
models
Forecasting Cable
Chaos
theory
Fractal
Brownian motion
Rescaled
range analysis
R/S
analysis of the Dow
V-statistic
R/S
analysis of Industrial Production
R/S
analysis of S&P500
WORKBOOK 3
NON-LINEAR DYNAMICS
Logistic
function
Phase
space analysis
Henon
attractor
Correlation dimension
Dimensionality of SP500 series
Neural
networks
Genetic
algorithms
Adaptive
NN forecasting model for option volatility
WORKBOOK 4
chaos
game
|
|
Box-Jenkins Analysis
Worksheet
Workbook Contents
| A massive, 4-workbook
set covering a wide range of forecasting methodologies and
techniques, with extensive applications in securities market
analysis: |
- Exponential smoothing, (simple, Holt, Holt-Winter)
- Regression analysis and ARMA modeling
- Estimating and analyzing autocorrelations
- Box-Jenkins analysis
- Maximum Likelihood Estimation
- Akaike & Bayes Information Criteria
- Box-Pierce & Ljung-Box portmanteau tests
- Forecasting the Wholesale Price Index
- Testing Purchasing Power Parity with Dickey-Fuller
- Performance measurement: Sharpe ratio, Jensen's
alpha, stock beta, Treynor measure
- ARCH, ARCH-M models
- Estimating non-linear ARCH effects in forecasting
residuals
|
- Chaos theory and examples of fractal Brownian motion
- Estimating the Hurst exponent using regression
- Estimating a-period cycle length using the V-statistic
- Rescaled range analysis of financial and econometric
time series
- Nonlinear logistic function and Henon
attractor
- Phase space portraits
- Estimating correlation dimension
- Estimating dimensionality of S&P500 system
- Neural networks, genetic algorithms and applications in
financial market forecasting
- Chaos game & the Serpinski fractal
|
Built-In Excel Functions & Software
- Holt & Hot-Winter forecasting functions
- MAD & MAPE functions
- ACF & PACF functions
- Box-Pierce & Ljung-Box portmanteau tests
- Durbin-Watson test
- Rescaled range function
- Correlation Integral function
- Chaos game program
|
Rescaled Range Analysis
Worksheet |
