Time Series Analysis for Quant Finance
🚀 Master Quantitative Skills with Quant Guild https://quantguild.com 📈 Interactive Brokers for Algorithmic Trading https://www.interactivebrokers.com/mk... 👾 Join the Quant Guild Discord server here / discord ___________________________________________ 🪐 Jupyter Notebook https://github.com/romanmichaelpaoluc... TL;DW Executive Summary Time series analysis and model limitations are generally misunderstood There tends to be a disconnect between the classroom and the office Analysis and decomposition is only useful if status quo persists There is no such thing as a "prediction" just an expectation if status quo Incorrect models can still be used to make optimal choices in uncertainty Composite models of exogenous factors can improve forecasts I hope you enjoyed! Roman ___________________________________________ 📖 Chapters: 00:00 - Introduction 03:19 - Basic Time Series 06:41 - Time Series Decomposition 11:48 - Time Series Tasks 14:58 - Time Series Forecasting 18:36 - Modeling Assumptions 21:19 - Intuitive Examples 28:46 - Market-Making Example 33:25 - The Big Short Example 36:09 - Illiquid Pricing Example 39:22 - Closing Thoughts and Future Topics ___________________________________________ 🗣️ Shout Outs A special thank you to my members on YouTube for supporting my channel and enabling me to continue to create videos just like this one! ⭐ Quant Guild Directors Dr. Jason Pirozzolo ___________________________________________ ▶️ Related Videos Quant Builds 🔨 How to Build a Volatility Trading Dashboard in Python with Interactive Brokers • How to Build a Volatility Trading Dashboar... Statistics and Trading Profitability Over Time (Edge) 📈 Expected Stock Returns Don't Exist • Expected Stock Returns Don't Exist How to Trade • How to Trade How to Trade Option Implied Volatility • How to Trade Option Implied Volatility How to Trade with an Edge • How to Trade with an Edge How to Trade with the Kelly Criterion • How to Trade with the Kelly Criterion Quant Trader on Retail vs Institutional Trading • Quant Trader on Retail vs. Institutional T... Quant on Trading and Investing • Quant on Trading and Investing ___________________________________________ 🗂️ Resources 📚 Quant Guild Library: https://github.com/romanmichaelpaoluc... 🌎 GitHub: https://github.com/RomanMichaelPaolucci https://github.com/Quant-Guild 📝 Medium (Blog): / quantguild / quant ___________________________________________ 🛠️ Projects The Gaussian Cookbook: https://gaussiancookbook.com Recipes for simulating stochastic processes: https://papers.ssrn.com/sol3/papers.c... ___________________________________________ 💬 Socials TikTok: / quantguild Instagram: / quantguild X/Twitter: https://x.com/quantguild/ LinkedIn (personal): / rmp99 LinkedIn (company): / quant-guild ___________________________________________
