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Haskell Financial Data Modeling and Predictive Analytics by Pavel Ryzhov

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Experimental conditional durations

Before starting with the model application, let us take a look at how those durations behave in time scale and how they depend on previous one. In fact we can consider few plots to estimate as follows:

  • Autocorrelation function
  • Lagged plots

Based on these two charts we will estimate and model a behavior of the durations.

The Autocorrelation function

The Autocorrelation function is often used in signal processing and is a correlation of time series against itself lagged by a few steps. Usually for discrete observations the estimate of autocorrelation function is obtained as follows:

The Autocorrelation function

In the preceding equation, is a lag ...

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