Financial Time Series Analysis for Trading
We assess whether a trading strategy based on the forecasting abilities of regressive models can be a relevant decision making tool in order to evaluate if it is preferable to buy at the week ahead price or wait until the following week to buy at the day ahead price. For this purpose, we compare the forecasting performance of an autoregressive model, a generalised additive model, a piecewise linear model and an ARIMA 1,1,7 GARCH 1,1 model and assess their expected shortfalls with a view to identifying the best model for implementing the trading strategy.
The results show that for both markets the relationship between the day-ahead price and volume and cost variables is recognized.
In addition, the French day ahead price seems to be more dependent on these factors than the UK day ahead price. In the second part, the autoregressive model with the variable cost of gas plants, a volume variable and a long term seasonal component as additional covariates, obtained the best prediction performances and the lowest average shortfall.
- Strategy Implementation;
- Trading Gold Future with ARIMA-GARCH model!
- why trade options instead of futures.
- So how do we apply these models?.
- Recently Published.
- Time Series Analysis: Fitting ARIMA/GARCH predictions profitable for FX??
This model appears to be the most suitable one in order to inform the decisions made by power traders every week and improve their performances. Author s Orsoni, Vincent. Advisor s.
Please enable JavaScript or use a modern browser. Pridobljeno znanje smo uporabili za razvoj osnovne trgovalne strategije v programskem jeziku R. AddThis uses cookies that require your consent. Edit consent In this master's thesis we have learned about time series analysis and modelling.
- Options trading strategy based on ARIMA forecasting.
- Trading Strategy: A Case Study on the Day-Ahead and Week-Ahead Electricity Prices;
- Tools for diagnostics and feature extraction!
- More links.
- binary options market times.
- center of gravity forex trading system.
Based on gained knowledge we have developed basic trading strategy in R programming language. Therefore, the developed trading strategy was applied on Bitcoin cryptocurrency market data.