Statistics as a way of looking into the future!

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Decided to do a bit of statistical work. I bought a book and built a multiplicative model :) using Excel. I have built regression, defined seasonal component (1 season - 24 hours, one hour archive of quotes was used) and built prediction function.

Regression equation has the following form: Y=b0+b1*t+b2*t^2+b3*X1+b4*X2, где

Yi=CLOSEi-1(gold), t-time, X1=CLOSEi-1(gold)/CLOSEi-1(usd), X2=CLOSEi-1(gold), b0...b4- regression coefficients. (I hope it's clear)

So I got the following picture

Personally I'm fascinated by it, when you "see" what will happen. I want to write an indicator.

Who has an opinion on the statistics?

 
m_a_sim >> :

Decided to do a bit of statistical work. I bought a book and built a multiplicative model :) using Excel. I have built regression, defined seasonal component (1 season - 24 hours, one hour archive of quotes was used) and built forecasting function.

Regression equation has the following form: Y=b0+b1*t+b2*t^2+b3*X1+b4*X2, где

Yi=CLOSEi-1(gold), t-time, X1=CLOSEi-1(gold)/CLOSEi-1(usd), X2=CLOSEi-1(gold), b0...b4- regression coefficients. (I hope it's clear)

So I got the following picture

Personally I'm fascinated by it, when you "see" what will happen. I want to write an indicator.

What is your opinion about it?

What is Close[i-1]USD ?

 
TheXpert >> :

What is Close[i-1]USD ?



is the previous close for the dollar index

 
Simple autoregressive (AR) models like the one above are good for modelling stationary processes. In fact, as far as price forecasting is concerned, it says it all. There are more advanced models that work well with some types of non-stationarity, such as GARCH, EGARCH. The latter are often used to predict volatility.
 
bstone писал(а) >>
Simple autoregressive (AR) models like this one are good for modelling stationary processes. This says it all about price forecasting. There are more advanced models that work well with some types of non-stationarity, e.g. GARCH, EGARCH. The latter ones are often used for volatility prediction.
Can I have a link to the description of these models?
 
Sure :)
 
Funny link)))) and you can't fault it, it works...
 
m_a_sim писал (а) >>

Who has an opinion on statistics?

There are three kinds of lies:

1. Concealed lies.

2. outright lies.

3. Statistics

:)

 
Serg_ASV писал(а) >>

There are three kinds of lies:

1. Concealed lies

2. A blatant lie.

3. Statistics

:)

+1!

 
There are 3 kinds of lies: 1. Concealed lies 2. Blatant lies 3. Statistics :) --- -1 :-)))) alas the comparison is inappropriate --- the saying was born in the days of socialism... when facts were falsified
 

Well, actually, even under capitalism they shuffle them around so badly. First, the fundamental is announced, which leads to a jump in exchange rates, and then, after a month or a quarter, it is revised. It turns out to be another means of manipulation.

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