Statistical Cointegration & Forecast system for financial markets

This project was successfully completed by Zhats for $20 USD / hour in 10 days.

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Employer working
Project Budget
$15 - $25 USD / hour
Completed In
10 days
Total Bids
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

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