This is a summary of links featured on Quantocracy on Saturday, 01/27/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Dynamic WARIMAX-gjrGARCH Market Strategy [Alpha Macro]In this article, I am going to explore an alternative forecasting technique that currently has merits in the field of dam displacement, a structural engineering problem. I will then apply this technique and measure its forecasting capability on the S&P/TSX Composite Index (GSPTSE). The model is the Wavelet Auto-Regressive Integrated Moving Average model with eXogenous variables and Generalized