Amer Bakhach

5 Questions 25 Answers 0 Followers

Questions related from Amer Bakhach

Is there any Benchmark for trading strategy for the FX Market?

Hi, as part of my PhD research, i have developed 2 trading strategies: TSFDC and BA. i applied them to 3 currency pairs from the FX markets: EUR/CHF, GBP/CHF, and EUR/USD. as for evaluation...

30 August 2016 8,260 9 View

Which statistical test to use?

Hi, i have developed two trading strategies: TSFDC and BA i used a rolling window approach. here is the profits obtained by the strategies: TSFDC BA Jan 2015 6.02 ...

29 August 2016 5,357 3 View

Can we forecast a white noise process?

Dear all, i am trying to forecast a time series(named 'OSVEXT'). the attached file contains the following tests: ACF, PACF, Box-Ljung test, KPSS test, ARIMA (auto.arima using R-package...

31 March 2015 1,604 10 View

Forecasting stationary time series?

I am trying to forecast only one step ahead of a stationary time series. I tried auto. Arima available in 'forecast' R package. The results are not good enough. Do you have any idea?

16 February 2015 8,746 6 View

If a series analysis is not stationary (using KPSS) and not non-stationary (using ADF) what can you conclude?

I am working on some research concerning time series analysis (subordination). Using R (urca) package I found that: H0: ts is stationary is rejected using KPSS and H0: ts has unite root was...

15 June 2014 7,699 8 View