Structure Function: Forgotten Detection Tool for Periodic Signals in Non-Stationary Processes
Dr. Pawel Lachowicz
In time-series analysis we often examine signals for specific volatility patterns. The simplest one is a periodic or…
Browsing Tag
timeseries
15 posts
Step-by-Step Guide to Matching Pursuit Algorithm with Stochastic Dictionaries
There is a huge number of ways how one can transform financial times-series in order to discover new…
Hacking 1-Minute Cryptocurrency Candlesticks: (3) Making Asynchronous 5-Sec Crypto Price-Series Aligned
Previously, in Part 1, we described the method using websockets to “listen” to the most recent update of…
Quantitative Analysis of a Sample Drawn from the Unknown Continuous Population
In quantitative finance, we very often deal with a sample mean and sample standard deviation being derived given…
Non-Linear Cross-Bicorrelations between the Oil Prices and Stock Fundamentals
When we talk about correlations in finance, by default, we assume linear relationships between two time-series “co-moving”. In…
Financial Time Series Segmentation Based On Turning Points in Python
A determination of peaks and troughs for any financial time-series seems to be always in high demand, especially…
Conversion of Financial Time Series based on Daily Returns Matrix in Python
As a financial analyst or algo trader, you are so often faced with information on, inter alia, daily…
Hacking Google Finance in Real-Time for Algorithmic Traders. (2) Premarket Trading.
It has been over a year since I posted Hacking Google Finance in Real-Time for Algorithmic Traders article.…
Walsh–Hadamard Transform and Tests for Randomness of Financial Return-Series
Randomness. A magic that happens behind the scene. An incomprehensible little blackbox that does the job for us.…
Rebinning Tick Data for FX Algo Traders
If you work or intend to work with FX data in order to build and backtest your own…
Preprocessing of Asset Price Series for Portfolio Optimization
Portfolio Optimization is a significant component of Matlab’s Financial Toolbox. It provides us with ready-to-use solution in finding…
Ideal Stock Trading Model for the Purpose of Backtesting Only
There is only one goal in algorithmic stock trading: to win the game. To emerge victorious. To feel…
Market Fear Detection Model for Stock Trading based on Principal Component Analysis
Everybody would agree on one thing: the nervousness among traders may lead to massive sells of stocks, the…
mhAoV: Most Powerful Periodogram for Signal Analysis
I decided to take the data analysis on Black Swan and Extreme Loss Modeling to the next level…
Financial Time-Series Rebinning
Working with financial time-series, especially in trading and its following analysis of data trends or so on, we…