5 ms·

Beginner's Guide to Time Series Analysis

81 points by tomaskazemekas 11y ago

chollida1 11y ago
I'm not really sure this article is a great one. I don't mean that to demean the author, the rest of his blog is a decent resource for people who want a good 1000 foot view of the basics of quant finance as it relates to trading, you won't find much useful for pricing for instance. This article on the same site is a follow up and does a better job explaining the material IMHO.... https://www.quantstart.com/articles/Serial-Correlation-in-Time-Series-Analysis https://www.quantstart.com/articles/Serial-Correlation-in-Ti... If you want a good beginner tutorial, these are the ones I recommend most to people. http://a-little-book-of-r-for-time-series.readthedocs.org/en/latest/src/timeseries.html http://a-little-book-of-r-for-time-series.readthedocs.org/en... http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm and if you want a bit more rigorous presentation then I recommend this book: http://www.springer.com/us/book/9780387759661 http://www.springer.com/us/book/9780387759661
- misframer 11y ago
  Related to your 3rd link [0], we used Time Series Analysis and Its Applications [1] in my undergraduate time series class. They have a free version [2]. [0] http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm [1] http://www.stat.pitt.edu/stoffer/tsa3/ http://www.stat.pitt.edu/stoffer/tsa3/ [2] http://www.stat.pitt.edu/stoffer/tsa3/tsa3EZ.pdf http://www.stat.pitt.edu/stoffer/tsa3/tsa3EZ.pdf
  - te 11y ago
    And one more here: http://www.stat.pitt.edu/stoffer/tsa3/tsa3.pdf http://www.stat.pitt.edu/stoffer/tsa3/tsa3.pdf
- tomaskazemekas 11y ago
  This is posted as a pointer to the start of the series of posts on the time series analytics. There are already three articles in this series posted, I find them to be good and the upcoming posts expected to be of value as well.
- sarwechshar 11y ago
  Thanks for those links. The first link was especially useful! (Wish I'd seen this a few months ago hah)
reilly3000 11y ago
Don't let GE find out about this.
pvnick 11y ago
As one of the comments on the page pointed out, the article skips one of the most important time series analysis, namely symbolic aggregate approximation (SAX - http://www.cs.ucr.edu/~eamonn/SAX.htm http://www.cs.ucr.edu/~eamonn/SAX.htm)

I'm not really sure this article is a great one. I don't mean that to demean the author, the rest of his blog is a decent resource for people who want a good 1000 foot view of the basics of quant finance as it relates to trading, you won't find much useful for pricing for instance. This article on the same site is a follow up and does a better job explaining the material IMHO.... https://www.quantstart.com/articles/Serial-Correlation-in-Time-Series-Analysis https://www.quantstart.com/articles/Serial-Correlation-in-Ti... If you want a good beginner tutorial, these are the ones I recommend most to people. http://a-little-book-of-r-for-time-series.readthedocs.org/en/latest/src/timeseries.html http://a-little-book-of-r-for-time-series.readthedocs.org/en... http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm and if you want a bit more rigorous presentation then I recommend this book: http://www.springer.com/us/book/9780387759661 http://www.springer.com/us/book/9780387759661

misframer 11y ago
Related to your 3rd link [0], we used Time Series Analysis and Its Applications [1] in my undergraduate time series class. They have a free version [2]. [0] http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm [1] http://www.stat.pitt.edu/stoffer/tsa3/ http://www.stat.pitt.edu/stoffer/tsa3/ [2] http://www.stat.pitt.edu/stoffer/tsa3/tsa3EZ.pdf http://www.stat.pitt.edu/stoffer/tsa3/tsa3EZ.pdf
- te 11y ago
  And one more here: http://www.stat.pitt.edu/stoffer/tsa3/tsa3.pdf http://www.stat.pitt.edu/stoffer/tsa3/tsa3.pdf
tomaskazemekas 11y ago
This is posted as a pointer to the start of the series of posts on the time series analytics. There are already three articles in this series posted, I find them to be good and the upcoming posts expected to be of value as well.
sarwechshar 11y ago
Thanks for those links. The first link was especially useful! (Wish I'd seen this a few months ago hah)

reilly3000 11y ago

Don't let GE find out about this.

pvnick 11y ago

As one of the comments on the page pointed out, the article skips one of the most important time series analysis, namely symbolic aggregate approximation (SAX - http://www.cs.ucr.edu/~eamonn/SAX.htm http://www.cs.ucr.edu/~eamonn/SAX.htm)