Prezzi azionari e rumore bianco

Come hai visto nel video, il rumore bianco descrive dati puramente casuali. Puoi eseguire un test di Ljung-Box con la funzione qui sotto per confermare la casualità di una serie; un p-value maggiore di 0,05 suggerisce che i dati non sono significativamente diversi dal rumore bianco.

> Box.test(pigs, lag = 24, fitdf = 0, type = "Ljung")

In economia esiste un risultato noto come "Ipotesi dei mercati efficienti", secondo cui i prezzi degli asset riflettono tutte le informazioni disponibili. Una conseguenza è che le variazioni giornaliere dei prezzi azionari dovrebbero comportarsi come rumore bianco (ignorando dividendi, tassi d'interesse e costi di transazione). Per chi fa previsioni, questo implica che la migliore previsione del prezzo futuro è il prezzo corrente.

Puoi testare questa ipotesi osservando la serie goog, che contiene il prezzo di chiusura delle azioni Google per 1000 giorni di contrattazione fino al 13 febbraio 2017. Questi dati sono stati caricati nel tuo workspace.

Questo esercizio fa parte del corso

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Istruzioni dell'esercizio

Per prima cosa, traccia la serie goog usando autoplot().
Usando diff() insieme ad autoplot(), traccia le variazioni giornaliere del prezzo delle azioni Google.
Usa la funzione ggAcf() per verificare se queste variazioni giornaliere sembrano rumore bianco.
Completa il codice pre-scritto per eseguire un test di Ljung-Box sulle variazioni giornaliere usando 10 ritardi.

Esercizio pratico interattivo

Prova a risolvere questo esercizio completando il codice di esempio.

# Plot the original series
___

# Plot the differenced series
___

# ACF of the differenced series
___

# Ljung-Box test of the differenced series
___(___, lag = ___, type = "Ljung")

Modifica ed esegui il codice

Questo esercizio fa parte del corso

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The first thing to do in any data analysis task is to plot the data. Graphs enable many features of the data to be visualized, including patterns, unusual observations, and changes over time. The features that are seen in plots of the data must then be incorporated, as far as possible, into the forecasting methods to be used.

Exercise 1: Benvenuto in Forecasting in R Exercise 2: Creare oggetti di serie temporali in R Exercise 3: Grafici di serie temporali Exercise 4: Grafici stagionali Exercise 5: Trend, stagionalità e ciclicità Exercise 6: Autocorrelazione di serie temporali non stagionali Exercise 7: Autocorrelazione di serie temporali stagionali e cicliche Exercise 8: Abbina l'ACF alla serie temporale Exercise 9: Rumore bianco Exercise 10: Prezzi azionari e rumore bianco

Esercizio in corso

In this chapter, you will learn general tools that are useful for many different forecasting situations. It will describe some methods for benchmark forecasting, methods for checking whether a forecasting method has adequately utilized the available information, and methods for measuring forecast accuracy. Each of the tools discussed in this chapter will be used repeatedly in subsequent chapters as you develop and explore a range of forecasting methods.

Exercise 1: Forecasts and potential futures Exercise 2: Naive forecasting methods Exercise 3: Fitted values and residuals Exercise 4: Checking time series residuals Exercise 5: Training and test sets Exercise 6: Evaluating forecast accuracy of non-seasonal methods Exercise 7: Evaluating forecast accuracy of seasonal methods Exercise 8: Do I have a good forecasting model?Exercise 9: Time series cross-validation Exercise 10: Using tsCV() for time series cross-validation

Forecasts produced using exponential smoothing methods are weighted averages of past observations, with the weights decaying exponentially as the observations get older. In other words, the more recent the observation, the higher the associated weight. This framework generates reliable forecasts quickly and for a wide range of time series, which is a great advantage and of major importance to applications in business.

Exercise 1: Exponentially weighted forecasts Exercise 2: Simple exponential smoothing Exercise 3: SES vs naive Exercise 4: Exponential smoothing methods with trend Exercise 5: Holt's trend methods Exercise 6: Exponential smoothing methods with trend and seasonality Exercise 7: Holt-Winters with monthly data Exercise 8: Holt-Winters method with daily data Exercise 9: State space models for exponential smoothing Exercise 10: Automatic forecasting with exponential smoothing Exercise 11: ETS vs seasonal naive Exercise 12: Match the models to the time series Exercise 13: When does ETS fail?

ARIMA models provide another approach to time series forecasting. Exponential smoothing and ARIMA models are the two most widely-used approaches to time series forecasting, and provide complementary approaches to the problem. While exponential smoothing models are based on a description of the trend and seasonality in the data, ARIMA models aim to describe the autocorrelations in the data.

Exercise 1: Transformations for variance stabilization Exercise 2: Box-Cox transformations for time series Exercise 3: Non-seasonal differencing for stationarity Exercise 4: Seasonal differencing for stationarity Exercise 5: ARIMA models Exercise 6: Automatic ARIMA models for non-seasonal time series Exercise 7: Forecasting with ARIMA models Exercise 8: Comparing auto.arima() and ets() on non-seasonal data Exercise 9: Seasonal ARIMA models Exercise 10: Automatic ARIMA models for seasonal time series Exercise 11: Exploring auto.arima() options Exercise 12: Comparing auto.arima() and ets() on seasonal data

The time series models in the previous chapters work well for many time series, but they are often not good for weekly or hourly data, and they do not allow for the inclusion of other information such as the effects of holidays, competitor activity, changes in the law, etc. In this chapter, you will look at some methods that handle more complicated seasonality, and you consider how to extend ARIMA models in order to allow other information to be included in the them.

Exercise 1: Dynamic regression Exercise 2: Forecasting sales allowing for advertising expenditure Exercise 3: Forecasting electricity demand Exercise 4: Dynamic harmonic regression Exercise 5: Forecasting weekly data Exercise 6: Harmonic regression for multiple seasonality Exercise 7: Forecasting call bookings Exercise 8: TBATS models Exercise 9: TBATS models for electricity demand Exercise 10: Your future in forecasting!