Statistical Cointegration & Forecast system for financial markets

IN PROGRESS
Bids
11
Avg Bid (USD)
$24 / hr
Project Budget (USD)
$15 - $25 / hr

Project Description:
I have real-time data streaming into excel that I need to analyze in R, Stata or Matlab.

1. Cointegration model
- compute Cointegration of X to Y, (n * X) to (m * Y) to (l * Z)... and other possible combinations in linear and parametric forms
- calculate p-value, z-value
- calculate percentile probabilities of the cointegration values in future time-series

2. Forecast model
- Build a probability matrix of single instruments
- possibility to select forecast model based on either ARIMA, GARCH, Kalman filter

3. Time to event
Calculate time to event given a portfolio (variance-covariance)

Candidates must have
Strong statistical background,
Past similar projects a strong plus
Good English

Hours of work: Unspecified Project Duration: 1 - 4 weeks Skills required:
Financial Markets, Matlab & Mathematica, Statistics
About the employer:
Verified
Public Clarification Board
Bids are hidden by the project creator. Log in as the employer to view bids or to bid on this project.
You will not be able to bid on this project if you are not qualified in one of the job categories. To see your qualifications click here.


$45 / hr
Hours: 25 hr/ week
$25 / hr
Hours: 2 hr/ week
Hire Zhats
$20 / hr
Hours: 10 hr/ week
$20 / hr
Hours: 20 hr/ week
$20 / hr
Hours: 10 hr/ week
Hire bchandra1955
$25 / hr
Hours: 10 hr/ week
$15 / hr
Hours: 15 hr/ week
$35 / hr
Hours: 8 hr/ week
Hire stat3
$20 / hr
Hours: 10 hr/ week
Hire Sidd1990
$25 / hr
Hours: 3 hr/ week