Functional Dynamic Factor Model for Intraday Price Curves
نویسندگان
چکیده
منابع مشابه
Functional Dynamic Factor Model for Intraday Price Curves
This article proposes a functional dynamic factor model for the evaluation of the impact of scalar– and curve–valued factors on the shapes of intraday price curves. The asymptotic theory leads to practically useful confidence intervals for the factor coefficients. The main findings pertain to the impact of the shapes of intraday oil futures on the shapes of intraday prices of blue chip stocks. ...
متن کاملPredictability of shapes of intraday price curves
We develop a statistical framework, based on functional data analysis, for testing the hypothesis of the predictability of shapes of intraday price curves. We derive test statistics based on signs of the scores of the functional principal components. We establish its asymptotic properties under the null and alternative hypotheses, and demonstrate via simulations that it has excellent finite sam...
متن کاملA Functional Dynamic Factor Model
SPENCER ERIC HAYS: A Functional Dynamic Factor Model. (Under the direction of Haipeng Shen.) Functional data analysis is a burgeoning area in statistics. However, much of the literature to date deals primarily with methods for collections of independent functional observations, which are not well suited to application with time series of curves. In this paper, a functional time series model is ...
متن کاملIntraday Empirical Analysis of Electricity Price Behaviour
This paper proposes an approach to the intraday analysis of the dynamics of electricity prices. The growth optimal portfolio (GOP) is used as a reference unit in a continuous financial electricity price model. A diversified global portfolio in the form a market capitalisation weighted index approximates the GOP. The GOP, measured in units of electricity, is normalised and then modelled as a tim...
متن کاملMining Quarterly Reports for Intraday Stock Price Trends
This paper proposes a methodology for predicting a change in stock prices trends for the time immediately following the publishing of quarterly reports. The methodology consists of three components. The first component benchmarks companies from the same line of business based on their financial ratios. The second component retrieves quarterly reports that share common patterns. The third compon...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2014
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbu004