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Cointegration analysis Financial time series

I need to do cointegration analysis on large sets of financial time series for testing and hopefully to then generate csv files that will be used by an automated trading platform. Ideally the platform would do the calculations but first there is a lot of analysis to do. I need someone who can not only program but has a solid mathematical background in cointegration to deal with issues such as analyzing two series one a monthly and one a daily.

The cointegration analysis needs to be robust and able to the following at a minimum.

determine if the series are cointegrated long term but also based on a rolling window where I can vary the lookback period.

I need to also determine the lead-lag relationship or causality which changes over time. At times the Series A will lead Series B, and vice versa and at times they are coincident or in a some range of the equilibrium long -term relationship.

It also must be capable of analyzing lags and changing the lags based on the result in the rolling windows.

Finally I need to determine the coefficients of the VECM that tells me how much each series typically corrects deviations from the long-term relationship.

Other issues include the total breakdown in the relationship for certain periods of time and determining optimal lookback windows.

Maybe cointegration is not the right technique for the information I'm trying to get from this analysis? Maybe I should be doing correlation analysis, granger casuality, an Ornstein-Uhlenbeck model etc. The program should be robust enough plug in some additional techniques since the data inputs will be almost exactly the same.

I don't need graphing functions etc just a csv file output with the results. This could be easily done with Matlab and some other statistical packages but all I have is Eviews and R so if you can use one of those the functions will already be built in and you can focus on the GUI for specifying certain parameters, managing input data files and outputting csv files for further analysis.

I need someone who is not only a good programmer but also understands the equations and work with me to make sure I'm getting what I need.

I would like to find someone good that is interested in doing this and other quantitative financial time series analysis and programming.

Skills: Algorithm, C Programming, C++ Programming, Excel, Statistics

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Project ID: #1585726

14 freelancers are bidding on average $438 for this job

malkabqlami6ka

Hello, Please check PM. Best, Iva

$450 USD in 15 days
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ETNASoftware

I have couple of developers who would be perfect fit with extended technological background & experience with financial software development & telecom. Examples of work: www.etnasoft.com/showcase/ My firm, ETNA Softw More

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5.0
PerfectSquare

Hi, I am professional data anlalyst, I am programmer as well I can help you in your analysis. Looking for your positive reply please Thanks

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pyeatt

I will work with you and make sure you get what you want.

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4.7
AnkSoftware

Expert in algo trading and quant. Please check PMB.

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KarolSz

Hi, I'm an experienced statistician and data analyst with good experience in financial modelling.

$400 USD in 14 days
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3.9
tulebaev

I'm doing a project on the correlation analysis of financial data and the calculation of Hurst exponent.

$200 USD in 7 days
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3.5
ochristo

B.Sc Mathematics, MSc Candidate Computational Engineering here. Also I have 5 years of financial industry experience and have built and designed numerous trading algo blackbox in c++ and java. Quality finished product More

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tsendee

I'm a data mining & machine learning researcher.

$600 USD in 15 days
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3.0
eriknil

I have lots of experience in time series analysis and programming in R, and I would gladly help you complete this project!

$200 USD in 14 days
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2.2
alidoroudian

I am an econometrician, and have an in-depth understanding of each of the following: Granger Causality, Forecast error variance decomposition, Impulse response function, Vector Autoregressive models, Co-integration tes More

$300 USD in 3 days
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1.6
shikmisra

Hi, Myself Shikha is quite interested to proceed with the project on cointegration analysis as i recently done projents on HJM implementation on monte carlo simulation and Multivariate Time Series Analysis. Use stati More

$500 USD in 15 days
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0.0
conatus

Hi, I would like to take this up.

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DGrigoriev

I have experince in data modelling and can work with you to solve intersting problem.

$800 USD in 20 days
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