Financial TimeSeries Analysis

[RohitDhankar]

1/ This is a research Task . Suggest how we may integrate as a New Feature within pyFinTrader. Present a Learning Session for the Coding partners . Participate in implementing the feature within - pyFinTrader

2/ Python Coding task - a Financial Time-series method to be coded -- take into consideration the content provided in the links below and incorporate -

https://content-calpoly-edu.s3.amazonaws.com/statistics/1/documents/Courses/ECOs/416-2092.pdf http://empslocal.ex.ac.uk/people/staff/mag208/ECMM703/timeseries-slides.pdf https://arxiv.org/pdf/1302.6613.pdf http://www.ams.sunysb.edu/~zhu/ams586/ARCH_GARCH.pdf

Statisticians like stationarity as it enables them to estimate parameters globally, using the entire available dataset. However,to propose a stationary model for yk which captures the above stylised facts is not easy, as the series does not look stationary the local variance(volatility) is clearly clustered in bunches of low/high values. If we were to .....

http://stats.lse.ac.uk/fryzlewicz/lec_notes/garch.pdf http://people.cs.pitt.edu/~milos/courses/cs3750/lectures/class16.pdf https://talksonmarkets.files.wordpress.com/2012/09/time-series-analysis-with-arima-e28093-arch013.pdf https://commons.lib.niu.edu/handle/10843/17833 http://www.stat.columbia.edu/~rdavis/lectures/Session6.pdf https://am.lombardodier.com/files/live/sites/am/files/Documents/AssetManagement/Index/fixed-income-index-methodology https://en.wikipedia.org/wiki/Bond_market_index https://www.westernasset.com/us/en/pdfs/whitepapers/fixed-income-portfolio-benchmarks-2012-01.pdf

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You may use any sample data sets . Post your code here in a Jupyter Notebook along with a CSV file with sample data used .

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Any doubts or any further clarifications required kindly contact Rohit - WhatsApp Text = +91-9871050873 or LinkedIn Text = https://www.linkedin.com/in/rohitdhankar/

[RohitDhankar]

Adding few more resources -

1. Excel sheet with a basic TimeSeries example from , this nice old simple Video tutorial - Jalayar Academy - https://www.youtube.com/watch?v=gHdYEZA50KE TS_May2020_JalayarAcademy.zip

[RohitDhankar]

Issue/task - migrated to the other repo , thus being closed here . https://github.com/pyFinTrader/FinTimeSeries/issues/1