|
| For an general arma time series mode, what's the optimal trading strategy? I know for AR(1) it is solved, what about in general case? Any papers on this? Thanks. |
|
|
|
 |
Godzilla
|
|
| Total Posts: 25 |
| Joined: Sep 2008 |
| |
|
| financial time-series do not conform to a restrictive parametric model such as ARx. As such you are asking the wrong question |
|
|
 |
jslade
|
|
| Total Posts: 745 |
| Joined: Feb 2007 |
| |
|
While this isn't exactly an answer to the question: the wholesale electricity markets have underlying demand curves that are ARIMAX (the X being weather). Some of the renewable deliverables (wind, solar) are also ARIMAX.
I bet if you dug in the literature for this world, someone's figured it out there. They probably call it something else though, and it probably relates to energy storage facilities. |
"Learning, n. The kind of ignorance distinguishing the studious." |
|
|
|
