Vector autoregression: forecasting and trading applications (Excel)

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Today we are investigating vector autoregression (VAR) - a very prominent concept in time series econometrics - and how it can be used to forecast stock returns and construct simple trading strategies.
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Опубликовано:

15 окт 2024

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Комментарии : 19

@jul8803 4 месяца назад

Criminally underrated channel.

@NEDLeducation 7 месяцев назад

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

@ДмитроСкляренко2012 Месяц назад

cannot find file nedl_var_trading.xlsx...

@heimlechihoudini416 7 месяцев назад

Great video, you are by far the best online teacher out there! Could you make a video about optimal capital structure and credit spreads using the leland model?

@Ludovicusgoertz 7 месяцев назад

Another gem, thank you! video suggestion: beta hedging for pair trades

@felipelopesdecamargo6381 7 месяцев назад

Great video! One question: aren't VAR-predicted returns supposed to be computed against the lag, rather than the contemporaneous change? If yes, how would this change results?

@nazarbond3161 7 месяцев назад

Great video!

@littlebigfis 4 месяца назад

Great Content! Video request: Factor decomposition of an example CTA hedge funds return, regressed against factor indexes like volatility, carry, mean reversion/value, time series momentum

@olazomi 7 месяцев назад

Thank you for sharing

@ashaykakde583 7 месяцев назад

Thank you great video

@chuckaschultzz 7 месяцев назад

Great video tutorial! However, I noted you posted a link to review the Excel document featured in this video and was not able to locate NEDL_VAR_trading. Let me know if it can be posted, or if it is, how to locate.

@chuckaschultzz 7 месяцев назад

I was able to reproduce - following you video. I did have a question on how it might be done if you were wanting to focus on a single stock, but incorporate 5 indicators (moving averages, supertrend, etc...). Do you think this could be similarly run - but in addition to predicting stock price movements (up or down) it would also predict the status of the indicator, assuming they are encoded one-hot or perhaps binary (0 or 1). Curious to hear your thoughts.

@govindchand9936 6 месяцев назад

I can't find the spreadsheet for this video and many other at the link

@RenormalizedAdvait 2 месяца назад

The excel computation doesn't seem to be quite right, for example: the return on AAPL on 04/01/2016 i.e. 26.34/26.32*100 - 100 gives 0.076 and not 0.0855. Please check.