Market Forecasting Model: ARIMA by Albert E. Parish Jr., Ph.D.
ARTICLE SYNOPSIS ...Market Forecasting Model: ARIMA by Albert E. Parish Jr., Ph.D.
Numerous statistical and time series techniques have been adapted for use in modeling futures prices series by using the microcomputer. One such model is the AutoRegressive Integrated Moving-Average (ARIMA) method. Let us demonstrate the use of the model in trading by applying it to the Chicago Board of Trade (CBOT) wheat contract.
Some background in time series analysis is necessary before we can discuss the specifics of ARIMA modeling. If Pt represents the closing price, let Pt be the CBOT wheat contract on day t. On any given ...