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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