walt_sak@proper.UUCP (Walt Sakai) (11/19/84)
I would like to call for comments regarding FORECASTING the
various areas of the CAPITAL MARKETS, especially with respect
to TRADING. Comments on negative results are very welcome.
We can all learn from mistakes or deadends.
Particular areas include:
BOND MARKET TIME-SERIES ANALYSIS
MONEY MARKET ARMA / BOX-JENKINS
FOREIGN EXCHANGE MULTIVARIATE METHODS
FINANCIAL FUTURES KALMAN / SPACE-STATE
In working with the T-BOND futures, I have found the price
series (using a very limited data) to basically in line with
the RANDOM WALK model. After removing the nonstationarity
of the series, the autocorrelations of the first-difference
series were not significantly different from zero. This is
very preliminary, and subject to more extensive testing.
Your comments in this area would be most valuable.
Comments sent will be summarized and posted. Thank you.
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( :-) Among economists, the world is a special case. :-)
#! rnews 1551walt_sak@proper.UUCP (Walt Sakai) (10/05/85)
I would like to call for comments regarding FORECASTING the
various areas of the CAPITAL MARKETS, especially with respect
to TRADING. Comments on negative results are very welcome.
Particular areas include:
BOND MARKET TIME-SERIES ANALYSIS
MONEY MARKET ARMA / BOX-JENKINS
FOREIGN EXCHANGE MULTIVARIATE METHODS
FINANCIAL FUTURES KALMAN / SPACE-STATE
------------------------------------------------------------
( :-) Among economists, the world is a special case. :-)
Walt Sakai
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