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Asim Srivastava
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I'm a final year undergraduate student at the University of Warwick and I have interests in Quantitative Financial Modeling, computer programming, pure and applied mathematics, statistics and financial trading. I have been working on a quant model which provides forecasts for stock prices on a... More
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Quantitative Forecasting of Stock Prices
  • Quant Forecasting Of Stock Prices 2 comments
    Feb 13, 2013 2:31 AM | about stocks: GOOG, AAPL, AMZN, PCLN, IBM

    Introduction

    Hello Everyone,

    I have recently developed a quant model which uses a form of Fourier Analysis in order to forecast stock prices and I am currently testing it on live market data.

    Based on real time day trading on a virtual portfolio, I have been able to achieve consistent daily returns of 0.1% (annualized return of 25% for 250 trading days) on a portfolio consisting of a variety of stocks.

    I will be publishing my forecasts regularly and you can follow them to see how accurate they are.

    Regards and enjoy,

    Asim

    Check out the full blog at: quantforecasting.blogspot.co.uk

    First Forecasts for 13/02/2013 at 03:03 GMT

    NameDirectionConfidenceFitRobustForecast OK?
    GOOGDown30%BadYesNO
    AAPLDown50%OkYesCheck
    AMZNUP41%OkYesCheck
    IBMUP54%OKYesYes
    PCLNUP83%OKYesYes

    Quick Guidelines about forecasts above:

    Here are a few things you should know:

    Direction: This tells you what the general direction of movement of the stock will be today and not necessarily where it will close relative to yesterday's price.

    Confidence: This is the most important diagnostic measure for these forecasts. It basically tells you how likely the forecast is to be correct, or simply, the confidence I have in the forecast. A high confidence generally means the forecast is likely to be true. The value for confidence is calculated from the model itself.

    Fit: A simple diagnostic check which ensures the model provides a good statistical fit to the data already observed. The fit may be Good, Ok or Bad, indicating the model fits the data very well, just alright, or not fit at all, respectively.

    Robust: This check tells you whether or not the forecast is robust. Meaning, does changing the model parameters slightly drastically alter the results? A robust result is one which is invariant under small changes in parameter values. Basically, a robust forecast is a good thing. A non robust forecast simply means it may very likely be wrong.

    Forecast OK?: This summarizes whether or not the forecast is alright overall, taking into account all the diagnostic information. 'Yes' and 'No' are obvious, if all the diagnostic measures are ok, i.e. Confidence levels are high, the Fit is good and the forecast is Robust, then it means that overall, forecast is alright. If all or most diagnostic measures were poor, then it would mean that the forecast is most likely incorrect. 'Check' means its not entirely obvious from the diagnostic information whether or not the forecast is ok and so no meaningful conclusion can be reached.

    Hopefully that covers just about everything, if there's anything else you'd like to know, feel free to ask!

    ***Disclaimer***:

    All information provided herein and in all further posts is to be used for educational purposes only and not to be considered as advice or recommendation of any sort. I cannot guarantee the accuracy of the forecasts I put up as the method I am using is still under development and testing. Consequently you should not base your investment decisions on these forecasts, and I will not be held liable for any losses incurred as a result of using these forecasts.

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  • Asim Srivastava
    , contributor
    Comments (2) | Send Message
     
    Author’s reply » Returns for 13/02/2013:

     

    AAPL - Shorted: 468.25, Covered: 466.21, Return: 0.435%
    AMZN - Bought: 258.07, Sold: 260.55, Return: 0.96%
    PCLN - Bought: 703.56, Sold: 705.20, Return: 0.233%

     

    Total Amount Invested: 450219
    Today's Profit: 1520
    Available Capital: 1,000,000

     

    Daily Return: 0.152%
    14 Feb 2013, 05:59 PM Reply Like
  • signalsprovider
    , contributor
    Comment (1) | Send Message
     
    The process of attempting to predict the future condition of the economy. This involves the use of statistical models utilizing variables sometimes called indicators. Some of the most well-known economic indicators include inflation and interest rates, GDP growth/decline, retail sales and unemployment rates.
    stock forecast
    27 Jan 2014, 01:50 AM Reply Like
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