Technical Notes

 Smoothing

Discuss five (5) different smoothing methods: weighted moving average (WMA), simple exponential smoothing, double exponential smoothing, linear exponential smoothing, and triple exponential smoothing.

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 Volatility 102

In this issue, we start by defining the various terms in an asset’s return time (e.g. holding period) and explain in detail the multi-period forecast of returns and volatility. Next, we discuss the scaling issue with volatility computed with different holding periods and...

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 Volatility 101

This is the first entry in what will become an ongoing series on volatility modeling. In this paper, we will start with the definition and general dynamics of volatility in financial time series. Next, we will use historical data to develop a few methods to forecast...

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 The Ins and Outs of Histograms

In this issue, we will tackle the probability distribution inference for a random variable. we’ll start with the non-parametric distributions functions: (1) empirical (cumulative) density function and (2) the histogram. In later issue, we’ll also go over...

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 Patterns Unplugged

This is the third issue in our ARMA Unplugged modeling series. In this issue, we introduce the common patterns often found in real time series data and discuss a few techniques to identify/model those patterns, paving the way for more elaborate discussion decomposition...

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 Homogeneity

In this paper, we explore one of the fundamental assumptions of data preparation in time series analysis: "homogeneity," or the assumption that a time series sample is drawn from a stable/homogeneous process. We’ll start by defining the homogeneous...

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