Time Series Analysis for Quant Finance

🚀 Master Quantitative Skills with Quant Guild
https://quantguild.com

📈 Interactive Brokers for Algorithmic Trading
https://www.interactivebrokers.com/mk...

👾 Join the Quant Guild Discord server here
  / discord  
___________________________________________
🪐 Jupyter Notebook
https://github.com/romanmichaelpaoluc...

TL;DW Executive Summary
Time series analysis and model limitations are generally misunderstood
There tends to be a disconnect between the classroom and the office
Analysis and decomposition is only useful if status quo persists
There is no such thing as a "prediction" just an expectation if status quo
Incorrect models can still be used to make optimal choices in uncertainty
Composite models of exogenous factors can improve forecasts

I hope you enjoyed!

Roman
___________________________________________
📖 Chapters:
00:00 - Introduction
03:19 - Basic Time Series
06:41 - Time Series Decomposition
11:48 - Time Series Tasks
14:58 - Time Series Forecasting
18:36 - Modeling Assumptions
21:19 - Intuitive Examples
28:46 - Market-Making Example
33:25 - The Big Short Example
36:09 - Illiquid Pricing Example
39:22 - Closing Thoughts and Future Topics
___________________________________________
🗣️ Shout Outs

A special thank you to my members on YouTube for supporting my channel and enabling me to continue to create videos just like this one!

⭐ Quant Guild Directors
Dr. Jason Pirozzolo
___________________________________________
▶️ Related Videos

Quant Builds 🔨
How to Build a Volatility Trading Dashboard in Python with Interactive Brokers
   • How to Build a Volatility Trading Dashboar...  

Statistics and Trading Profitability Over Time (Edge) 📈

Expected Stock Returns Don't Exist
   • Expected Stock Returns Don't Exist  

How to Trade
   • How to Trade  

How to Trade Option Implied Volatility
   • How to Trade Option Implied Volatility  

How to Trade with an Edge
   • How to Trade with an Edge  

How to Trade with the Kelly Criterion
   • How to Trade with the Kelly Criterion  

Quant Trader on Retail vs Institutional Trading
   • Quant Trader on Retail vs. Institutional T...  

Quant on Trading and Investing
   • Quant on Trading and Investing  
___________________________________________
🗂️ Resources

📚 Quant Guild Library:
https://github.com/romanmichaelpaoluc...

🌎 GitHub:
https://github.com/RomanMichaelPaolucci
https://github.com/Quant-Guild

📝 Medium (Blog):
  / quantguild  
  / quant  
___________________________________________
🛠️ Projects

The Gaussian Cookbook:
https://gaussiancookbook.com

Recipes for simulating stochastic processes:
https://papers.ssrn.com/sol3/papers.c...
___________________________________________
💬 Socials

TikTok:   / quantguild  

Instagram:   / quantguild  

X/Twitter: https://x.com/quantguild/

LinkedIn (personal):   / rmp99  

LinkedIn (company):   / quant-guild  
___________________________________________