Cointegration analysis Financial time series

I need to do cointegration analysis on large sets of financial time series for testing and hopefully to then generate csv files that will be used by an automated trading platform. Ideally the platform would do the calculations but first there is a lot of analysis to do. I need someone who can not only program but has a solid mathematical background in cointegration to deal with issues such as analyzing two series one a monthly and one a daily.

The cointegration analysis needs to be robust and able to the following at a minimum.

determine if the series are cointegrated long term but also based on a rolling window where I can vary the lookback period.

I need to also determine the lead-lag relationship or causality which changes over time. At times the Series A will lead Series B, and vice versa and at times they are coincident or in a some range of the equilibrium long -term relationship.

It also must be capable of analyzing lags and changing the lags based on the result in the rolling windows.

Finally I need to determine the coefficients of the VECM that tells me how much each series typically corrects deviations from the long-term relationship.

Other issues include the total breakdown in the relationship for certain periods of time and determining optimal lookback windows.

Maybe cointegration is not the right technique for the information I'm trying to get from this analysis? Maybe I should be doing correlation analysis, granger casuality, an Ornstein-Uhlenbeck model etc. The program should be robust enough plug in some additional techniques since the data inputs will be almost exactly the same.

I don't need graphing functions etc just a csv file output with the results. This could be easily done with Matlab and some other statistical packages but all I have is Eviews and R so if you can use one of those the functions will already be built in and you can focus on the GUI for specifying certain parameters, managing input data files and outputting csv files for further analysis.

I need someone who is not only a good programmer but also understands the equations and work with me to make sure I'm getting what I need.

I would like to find someone good that is interested in doing this and other quantitative financial time series analysis and programming.

Kemahiran: Algoritma, Pengaturcaraan C, Pengaturcaraan C++, Excel, Statistik

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Tentang Majikan:
( 0 ulasan ) United States

ID Projek: #1585726

14 pekerja bebas membida secara purata $438 untuk pekerjaan ini


Hello, Please check PM. Best, Iva

$450 USD dalam 15 hari
(19 Ulasan)

I have couple of developers who would be perfect fit with extended technological background & experience with financial software development & telecom. Examples of work: [url removed, login to view] My firm, ETNA Softw Lagi

$30 USD dalam sehari
(1 Ulasan)

Hi, I am professional data anlalyst, I am programmer as well I can help you in your analysis. Looking for your positive reply please Thanks

$400 USD dalam 10 hari
(49 Ulasan)

I will work with you and make sure you get what you want.

$750 USD dalam 28 hari
(1 Ulasan)

Expert in algo trading and quant. Please check PMB.

$600 USD dalam 15 hari
(10 Ulasan)

Hi, I'm an experienced statistician and data analyst with good experience in financial modelling.

$400 USD dalam 14 hari
(5 Ulasan)

I'm doing a project on the correlation analysis of financial data and the calculation of Hurst exponent.

$200 USD dalam 7 hari
(11 Ulasan)

[url removed, login to view] Mathematics, MSc Candidate Computational Engineering here. Also I have 5 years of financial industry experience and have built and designed numerous trading algo blackbox in c++ and java. Quality finished product Lagi

$500 USD dalam 5 hari
(7 Ulasan)

I'm a data mining & machine learning researcher.

$600 USD dalam 15 hari
(1 Ulasan)

I have experince in data modelling and can work with you to solve intersting problem.

$800 USD dalam 20 hari
(0 Ulasan)

Hi, I would like to take this up.

$400 USD dalam 10 hari
(0 Ulasan)

Hi, Myself Shikha is quite interested to proceed with the project on cointegration analysis as i recently done projents on HJM implementation on monte carlo simulation and Multivariate Time Series Analysis. Use stati Lagi

$500 USD dalam 15 hari
(0 Ulasan)

I am an econometrician, and have an in-depth understanding of each of the following: Granger Causality, Forecast error variance decomposition, Impulse response function, Vector Autoregressive models, Co-integration tes Lagi

$300 USD dalam 3 hari
(0 Ulasan)

I have lots of experience in time series analysis and programming in R, and I would gladly help you complete this project!

$200 USD dalam 14 hari
(0 Ulasan)